Hello,
If you are referring to the Categories dropdown menu displayed in the header, you will need to manage its menu items manually from Appearance > Menus.
1. Navigate to Appearance > Menus.
2. Edit the menu that is assigned to the Categories element.
3. To check which menu is being used, navigate to Header Builder, edit the Categories element, and see which menu is selected there: https://postimg.cc/FdyscWHp
4. Add or remove menu items as needed, then save the menu.
This is where you can customize the Categories dropdown menu shown in the header.
Best Regards