Which screen exactly? Are you able to post a screenshot and some more details of what you don't understand? Or what makes you think you could be in more than one mode? If you are referring to the modes setup screen, that is just a place to configure what modes you want to have available on your HE hub.
More generally on modes... The "mode" itself is literally just a system wide setting that represents the current (single) mode for the system. Think of it like a Hub Variable, but one that the HE platform knows will definitely be there. My understanding is the platform comes with an initial setup very similar to modes in a home security system, hence their inclusion in the built-in HSM App. Everything to do with modes is entirely up to you and how you want to configure and use them, including the modes you want available (see above), how and when you move between modes and what you do in response to moving between or being in certain modes (e.g. automations).
So, to get a bit more practical....
I have Night, Day, Evening, Relax and Away mode configured. I know I added Relax, but can't remember if I added Evening or not... I have a mixture of physical / manual transitions between modes, including triggering by button presses, but also lux readings and time-based changes. The Button presses are handled primarily through instances of the Button Controller App, with other transitions in Rule Machine. At one point in time I think I had them linked with Google Home, but I can't be sure. You also have the ability to change modes from HE Dashboards, if they are something you are interested in. Modes can be made controllable from external systems using the Maker API App. There is the built-in Mode Manager App that focuses entirely on when and how to move between modes. I have dabbled with it at times in the past, but I tend to want more manual control and have often drifted towards the Rule Machine and Button Controller Apps.
In terms of responding to changes in Mode, I have various Rule Machine rules for this, such as moving from Night to Day where I adjust / turn on certain lighting, open the blinds and turn on the TV in the Kitchen, or Day to Evening where I adjust the lights and make sure the blinds are closed. Tip - I only learnt this recently, but if you set a Required Expression of Mode = X, then have a trigger of Mode = Y, that will effectively trigger on the change of the Mode X to Mode Y.
Another tip... You may have noticed I split my descriptions into triggering changes to the mode and responding to the changes in the mode. This is how I like to setup my automations, separating these two concepts, allowing me to change / disable one without needing change the other. And reducing the need to repeat logic across potentially multiple spots in HE.
I also have a range of places where Modes dictate how automations work, primarily in my lighting. If I walk into a room and motion is detected, the appropriate Philips Hue Scene will be activated based on the Mode HE is in, driven through Room Lighting using the Per Mode option. Similar options exist in Rule Machine and other automation Apps when defining conditional actions to use modes in the conditional logic.
You will find a variety of ways people use Modes around here, or even people who don't use them. That's one of the great things about the platform, the choice. In the end, it is up to you how you want to use the Hubitat platform... And I should stop now, I'm starting to sound like a commercial... 
Hope this helps...
