Your site’s current behavior looks correct from my end.
This is because your menu system is based on section IDs within the same page. When a menu item is clicked, the page scrolls to the section instead of loading a new page, so the off-canvas menu does not automatically close. It will only close when the close (X) icon is clicked.
If you want the off-canvas menu to close automatically when clicking a menu item that links to a section on the same page, you will need to customize the current behavior using custom JavaScript.
Thank you.