Hi,
You can indeed create a filter with a list of categories. When the filter is used, it can display the products of the selected category.
For this, you need to have a page which lists all the products and configure the filter module to use that page (with the menu setting) so that the filter will filter out the products from the other categories not selected in the filter.
So, it's not really a "jump to the selected category" action even though in some cases, it can be made to look similar.
If you really want to have a dropdown, you need to use something like this:
extensions.joomla.org/extension/structur...ystems/maxi-menu-ck/
With it, you can configure a module of menu items to look like a dropdown, and you can even use its integration with HikaShop to fill the dropdown with the categories of HikaShop, without having to create a menu item for each category.