Thanks for answering.
The issue is that I already have the “Show product categories dropdown” option enabled. And the link you give me says: “This list cannot be edited. Select Categories will show all the categories”.
But only the categories that already came with the demo are shown, the new ones that I generated are not shown.

I take this opportunity to comment that the theme is very good. At least what I used so far seemed great to me. Congratulations.