Hi MarVdb,
To open the list of categories is clicking Categorize under Tags, then clicking All Categories. And yes, you should click on an items so that the
Categorize option will show up.
Regarding this "The problem is that there are NO mails or appointments that are allocated to the categories that I want to delete, so there is no need to delete the categories from them first."
If there is no mail or appointments that are allocated to the categories, you should can delete the category via following directly:

Once you have mail is allocated to the categories, when you click on the email, the category will still show up on the Categories list looks like xxx(not in Master Category List). Since I noticed your categories in the screenshot you provided:

If you want to delete category Whether: 00142 Roma, you should uncheck the option in front of Whether: 00142 Roma (not in Master Category List). Then you won't see the category from your categories list when you click the email. But in
this method, it just mean you removed the category from this email. If you want to remove the category from all items and the category won't show up in categories list whatever you select, you should search out all items are allocated to the category and then
unselect the checkbox in front of Whether: 00142 Roma (not in Master Category List) as I mentioned before.
If you don't have any email or appointment is allocated to the category and you still cannot delete it, would you mind recording a video about what's happen on your side? For the video, please send it to us via PM.
For the "signal click", sorry for my mistake, I just mean "click".
Thanks,
Iry