Go to Customize ▸ Header ▸ Department Menu, at the end of the panel, you will see settings for Shop by Department Menu.
This is the text that shown on the header bar.
This is where you enter the link of your Department page.
Department Menu on Homepage
Here you can see two options: Open and Close.
Go to Appearance ▸ Menus ▸ Edit Menus ▸ Select a menu to edit ▸ Shop By Department.