Set-up Protection Rules - Why do i get redirected when i select site?

I am in the Membership 2 plugin and want to set protection rules for my whole network.
When i choose a different website in the dropdown menu, I am redirected to that site.

With that said, do I need to download the membership 2 plugin on that site aswell?

I am running a multisite setup with subdomains, do i need to change to subdirectory for this to work?