Hi Bijit,
This is selection window where you choose characters as per planning process. In your case you are filtering them as per location and header being "Base Material". It will always show as per header and will filter as per different criteria.
If you want to drill-down on different levels then you need to load the data and then use "header information setting" where you can choose different characters for drill-down.
I would recommend you to play around to get better understanding of the same.
Regards
Rahul