You are using Kleo.
The Kleo authors performed some integration with GDV1, but the system they use for sidebars and headers is not compatible with GDV2 templates.
You can certainly use GD Widgets and shortcodes with the builder you are using, though it will add opinionated styles from the theme.
However you will need to converse with the authors about how to use the sidebar and header system when they are ready for GDV2.
You can read a doc here about how to pick a theme for GDV2, including information about sidebars.
https://wpgeodirectory.com/docs-v2/themes/
From what I have seen with Kleo, the issue is that the sidebars and headers that are set in the page template are not done the “WP Way” so they are not ‘picked up’.
You could try a different plugin for creating sidebars but we haven’t tested any at this time.