Open Context of the Organisation, then Configuration, then Category. The route continues /configuration/categories.
What a category is for
A category groups similar issues so they can be filtered and reviewed together. The register does not let you type a new category on the item. Add it here first, then choose it on the context item.
Change the list
Add, edit, or remove categories on this page. Existing context items keep the category they already use until you edit them. The issues themselves stay on the register.