To set categories for LearnDash courses, follow these steps:

    1. Login to your WordPress site and go to your admin dashboard.

    2. Click on "Courses" from the LearnDash menu on the left-hand side of the screen.

    3. Hover your mouse over the course you want to categorize and click on "Edit".

    4. On the right-hand side of the screen, you will see a panel labeled "Course Settings".

    5. Scroll down and look for the "Course Categories" option.

    6. Click on the "Add New Category" button to create a new category or select an existing category from the drop-down list.

    7. Once you have selected or created the category, click on the "Update" button to save the changes.

That's it! Your LearnDash course is now categorized. You can repeat these steps for other courses you want to categorize.

Then, you can go to Theme Options - LearnDash - enabled the Show Categories Filter. 

Here is the sample result: