Hi,
http://demo.yolotheme.com/motor/product-2-columns-with-sidebar/
This is a custom shop page layout and was built by the shortcode "Yolo Product" (Static Page). -> the sidebar only display on this page.
http://prntscr.com/jjc2y9
If you want to add the sidebar for Shop template, you need to use the template shop of Woocommerce and you are currently using it.
Currently, the shop has two of the style "Woo Default" and "Ajax Filter".
- Ajax Filter (you are using): The default is to use the widget "Woocommerce Shop Filter".
http://prntscr.com/jjc5od
http://prntscr.com/jjc6fg
This style doesn't support the sidebar left or right.
- Woo Default: You will need to use this style to add the sidebar for Shop Template (shop page,product category, product tag...). http://prntscr.com/jjc792
- With Single Product Page, you go to Theme Options -> Woocommerce -> Single Product -> Set the sidebar.
http://prntscr.com/jjc7s4
Thanks.