You can want to config the Brand page as this: https://kalles-demo.myshopify.com/pages/brands​

Please follow these steps below to understand about the way config

1 - Create a new Brand page

You can go to Online Store > Pages > Create a new page & choose the Template is brands

2 - Create a new menu with handle "t4_brands_page"

You can go to Navigation > Create a new menu & add the handle is "t4_brands_page"

3 - Adding link for menu

3.1 "Show All"

In Show All link, you MUST set a link is "#*" to make all the menu item display on this tab on the preview

3.2 - Create a child link (maybe a brand page link) for each character

With parent menu like A, B, C, D, E....you can enter link is "#"

With menu item to A (It's the children menu), you can add the link for it as you want.

4 - Result

You can click on "View page" to see the result