Categories are simply used for sorting. They don't have any impact on the document other than letting you sort by Category in the Library. In ProPresenter 6, categories are handled dynamically. Once you remove the last document assigned to a category, that category is removed. If you use iTunes, this works similar to how genres work for music. If there isn't an item in a particular category/genre, then it doesn't exist. If you used previous versions of ProPresenter, then this is a different way of working with Categories than you will be familiar with. The Categories list has been removed from Preferences as well.
When importing or creating a new document, you can set the Category to an existing Category or create a new one. Click the Category menu to make your selection or create a new Category.
You can create new categories with existing documents in several different ways. The easiest is to right-click on the document in your Library, go to Categories, then select an existing category or New Category. You can also set the Category under the document info panel at the top of the slide area. Click the info button next to the song title above the slides, then choose the category from the dropdown list. The last option is in the Editor. Click the first section on the right for Document Properties and change the Category there. All three of these methods have the same end result and will add the Category to the dropdown list at that time.