Hello @marcogecky,
Filtering means that the URL of the page will not change during the filtering process. On image 2, the filter adds parameters that do not change the page that is open at the time of filtering (its URL); they are used to store filtering parameters.
If you want to use the filter to navigate the site (so that when you click on a category, the user goes to the category page), then the “Menu Mode” option (in the settings of the Categories section) in the Pro version must be activated, it turns the category filter into a menu (at the same time, some of the functionality that cannot be applied in this case is lost, for example, the ability to select several categories at the same time).
You will get the same effect if you simply remove the Categories filter and instead add the most ordinary Menu with links to category pages using any WordPress widget.