Hello @e30powar !
I've totally been where you are - seeing campaign values when breaking down the Direct channel by the campaign eVar. While this may make you feel a little queasy, don't worry ...it is probably going to be okay.
There is a 2020 Summit Session called “Behind Every Good Report is Good Data” that talks about Marketing Channel Rules. Toward the end of this session, the presenters walk through some super common scenarios of break-downs that make it appear as if the Marketing Channels data is not right and they explain why the data is right -- and your scenario is one that they walk through!
The session is less than 20 minutes so you can watch it while eating lunch and, at the end, not only be full but also understand why you see campaigns when breaking down the Direct channel.