NAV Menu options unclear

I created a custom post type and several taxonomies associated with that post type. When I edit the Nav menu (via Appearance/Menus), the WP Categories option contains noting but ‘Uncategorised’, then I have a list of the taxonomies I created in CPT UI as drop-down entries, all saying ‘No Items’.

I wanted to have the taxonomies I created to act like the WP Categories menu setting to that I can add a link to the Archive page filtering posts by the category selected in the Nav Menu.