Hierarchical Categories

I know this probably isn’t a developers forum – but didn’t know where else to ask for guidance. I am looking to make the categories dropdown filter follow the hierarchy set in the categories page. Current functionality just appears to just list all categories in alphabetical order. This is great if there are just a few categories – but I have 30+ categories and would love to be able to break them down by there parent categories. Is there something out there that already does this or am I missing something? If I do need to create my own theme – any chance you could give just a quick tip on where to start overriding? Thanks!

https://www.ads-software.com/plugins/all-in-one-event-calendar/