Yes, that's correct.
You have two volumes, because that's what Catalina makes as it installs.
Macintosh HD is for your system. It's a protected volume - you can't easily make ANY changes to that volume.
The other volume (Macintosh HD - Data) is where you actually work, such as installing new apps, adding pictures and other files and documents.
You should not ever have to decide which volume to use. The macOS knows what to do with those virtual volumes.