Thank you for your message, I would be happy to take a look into this with you. Taking a look at the URL you provided, it looks like your drop-down menu works as expected, were you able to get this solved, for example:
Or, if I am misunderstanding your question, do you mean the actual links within your drop-down menu are not leading to the intended pages? For example, if I click "Dresses" under "Women" I get directed to this page:
Which of course, just means that you have not added any products to the specific collection in your admin yet. If you have linked collections within the navigation area of your admin and you are still seeing this, I would suggest re-linking them to see if they show up after saving again.
Please feel free to reach back out here with any further context or questions about the above information, we are always happy to help out!