Hello,
I saw the screenshot you attached.
You can create categories from Products >> Categories and then assign products to the specific category.
If you want to add categories in the categories menu then you need to Go to Appearance >> Menus >> Edit categories menu.
Screenshot for Clarification: https://ibb.co/XSyGWZb
From there you can add categories to the categories menu.
If you want to ask anything else then provide with some relevant screenshot of the specific area to check it myself and help you out accordingly.
Best Regards.