Thanks for explanation. But can I transfer that change from change address back to my lets call it "primary" address that I use to keep most of my BTCs?
I lack reputation to answer to your second question, so I will answer here.
There is a very good reason to consolidate all your balance into one, if you are not worried about privacy: To save on fees.
They are indeed all your addresses. The addresses labeled receiving in green are meant to be given to people from whom you wish to accept a payment and the yellow change addresses are there for Electrum to use when you make a transaction with an unspent output.
About receiving addresses
Using a separate address for every incoming transaction is better than ...
Based on some of your comments:
My Private Key is in a WIF Format, when I put it in it doesn't want to
go with my address.
It sounds as though your wallet could be importing the wrong address type (ie legacy vs p2sh-segwit vs bech32).
With Electrum you can import your WIF and specify the address type.
Electrum can import private keys ...