You added a monitor capture source. It captures your desktop. On the desktop, there is your OBS window. So in the preview of your OBS, you see the desktop with your OBS window.
The OBS window in the preview contains the preview of the desktop with the OBS window. And so on, ad infinitum. It's all working as designed. If you start "things", the "things" will appear in the OBS window instead of the mirrored OBS. You could as well remove monitor capture and capture your things you want to record directly, for example with game capture or window capture. Or use two monitors and move OBS to a monitor you're not capturing with monitor capture.