This is sort of a weird situation, but I can readily duplicate it. I have the element detail palette pinned to the screen, so if you have an element selected, the palette will fade away the farther you get from it. I assume that is “pinned” at least – the pin icon is gray, whatever state that is.
If an element on the plot is selected (and the element detail palette is translucent), clicking “Manage Categories” initially shows the appropriate screen. But as soon as I move the mouse into the plot area, the Manage Categories screen disappears. This happens every time! If I click into the plot and de-select all elements, then everything works fine. Or if I have the element detail palette in the other state, so it’s always 100% opaque, then it works fine too.