Yes, that is intended behavior. It matches how WordPress would display posts by category. There is no easy way to make that change. There are only two options that I can think of off the top of my head. One is to custom code a new drop down which would be quit involved. The second option would be more of a hack. I think you can change this line to this:
if ( ! empty( $queryCategoryID ) ) $atts['category_in'] = $queryCategoryID;
That should limit the query to only the category selected. If you chose this option, you would have to reapply this change after every Connections update.
Hope that helps.