The default template means, the default K2 template which you have overriden.
There is a small difference between K2 templates/ subtemplates and Joomla! templates.
If you only use one K2 subtemplate then you do not need to worry about this issue.
This cannot be changed without an SEO extension beacuse this is standard Joomla! functionality. The way these menus behave is how Joomla! menu items behave and not K2.
Finally this post will clarify K2 templates. It is definetely worth the read.
nuevvo.com/blog/item/84-k2-inheritance-sub-templating