PLease share your website URL where you have an issue to check.

Seems you can create that menu for that page only.

Please create a menu from the Appearance > Menu, to show it for all the pages and you can select the header style as per your need from the APpearance > Customize > Header > general.

You can also create the custom header style: https://docs.oceanwp.org/article/355-how-to-create-a-custom-header

PS- To inherit the customize settings make sure the page level setting of the pages for the header should be default.

On the other pages where it not showing, please edit the page and scroll down at the header tab in oceanwp settings section and make sure here settings should be the default.

and please edit the page with elementor, at the bottom left corner click on the setting button and select Page Layout as “default” or “elementor full width” and check.