You can file by mail and still get direct deposit. Efiling and direct deposit are two separate things. Your options for filing your taxes are by mail (print and send) or by efile. It sounds like you selected, whether intentional or not, filing by mail. (Sometimes specific tax situations require filing by mail, so efiling isn't an option.)
You have a few options for receiving your refund, one of which is direct deposit. So you could have direct deposit selected for your refund, but you won't get your refund until you've submitted your taxes (whether by mail or efiling).
The top of your screen likely says you filed because you selected filing by mail, and when that happens your taxes are considered "filed" through TurboTax because our part is done and your next step is to print and send in your forms.
You can read more information about printing and filing your taxes here: https://ttlc.intuit.com/questions/1944348