The Category Menu (the one down the left-hand side visible when browsing the catalog in desktop mode) is in a fully opened state. If you have a large category tree, it stretches way past the products, looks ungainly and forces the user to do a lot of scrolling. Also, the whole tree should be accessible, not just the sub-categories of the current category as this forces the user to use either the breadcrumbs or the Top Navigation to climb back up through categories.
the category tree depth is limited in this theme because of the design specifics of category menu navigation and sub-category grids, it is the same model shared between categories menu navigation, sub-category-grids, and sidebar category navigation.
As for making sidebar category navigation collapsible, we will discuss this in the end of this week and will decide to implement it or not, and will inform you about it.