Brand list widget display list of all the available brands and is not the filter by brand, it’s list of the brands and when you choose the brand you go to page where all the products of that brand are displayed. If you need the filter then you can try Product filter by Attribute widget. Before using this widget create attribute brand (Products > Attributes), and add all the brands as terms. Then apply every brand to the necessary product http://prntscr.com/iox1p9 and don’t check “Visible on product page”. After that add Product filter by Attribute widget to the shop page sidebar and choose the brand attribute.