Hi,
The "menu" option of modules allows you to configure on which menu item the links of your module are pointing to.
When SEF is activated, joomla needs that data to be able to translate the SEFed url and understand what component should be called.
If you configure a menu which doesn't exist anymore or which is not configured properly to display a listing of products, the links won't work.
So just sure that this option is configured with a valid menu item and the links of your module will then work properly.