When you have sub-categories those category names become clickable and allow the user to navigate through the sub-categories. So replacing those links with links to the question lists will result in the user only being able to navigate through the level 1 categories.
If you're asking that question then it is likely that you are not even using sub-categories so you only see level 1 categories with no sub-categories which results in them being non-clickable as there is nothing to browser under them.
Taking that into account, it would make sense to add links to all the level 1 categories. Bear in mind this would not be valid the day you add a single subcategory as it will be unreachable.
You can change this behavior in your theme or create a plugin with a layer. In Q2A 1.7 this approach should do the trick. Just add this code to your theme:
public function initialize() {
if ($this->template === 'categories' && isset($this->content['nav_list'])) {
$categories = qa_db_single_select(qa_db_category_nav_selectspec('', false, false, true));
foreach ($this->content['nav_list']['nav'] as &$category) {
$catId = $category['categoryid'];
$path = qa_path_html('questions/' . implode('/', array_reverse(explode('/', $categories[$catId]['backpath']))));
$category['url'] = $path;
}
}
}