Product categories need to be added manually to the wordpress menu.
Navigate to Appearance > Menus.
Note: Depending on how your site is set up, you may have to edit two menus, i.e the main website menu, and the mobile menu as well.

Navigate to the product categories box on the left.
If you cannot see this box, click on the screen options tab at the top of the page, and ensure "product categories" is selected.

Put a tick next to the product category in the menu you want to add, and click on "Add to Menu".
The category will then appear in your menu.
Drag the menu item where you would like it to appear.
Then press save menu.