The category select is designed to show all with the exception to hide empty categories and excluded categories. You are manually limiting the scope of the entries that can be returned by using the category shortcode option… maybe the confusion comes from this… you are not setting what categories to display in the drop down by using the category shortcode option, rather you are limiting the query to the entries which can be returned by the category they have been assigned.
Since you are choosing to manually restrict which categories can be displayed on separate pages of your site, then you have to also limit which categories should be displayed in the drop down by either excluding them as options or using the limit to root parent as I suggested in my last reply.
I’ll explain the decisions… This was designed for the 99% of users. They are going to add the shortcode to a single page and let the user choose from the categories, that’s about it. But I also choose to allow the 1% to create far more complex configurations. If you’re going to manually split categories out on separate WordPress pages there is going to be a bit more configuration to the process.
I really hope this helps clear up functionality and not make it muddier!