I can't tell you for sure which app they're using. It looks like it might be a custom filtering menu that's built directly into their theme - but without access to their store's admin, I wouldn't be able to say for sure.
If you're looking for a good filtering app to use for your collection pages, I recommend the Product Filter & Search app.
Hope this helps,
I'm not sure what app they're using. We are using Searchanise and customize it to the way we like it.
Here's the link of the app if you wanna give it a try: https://www.searchanise.com/get/7m2T4/shopify
A good search + filter app that can help you with SEO and theme support is https://apps.shopify.com/ultimate-search-and-filter-1. It is tailored to your theme and you can filter by collections, tags, metafields, options, etc.