The issue here is how the categories work - it is an old design and the categories were designed to work with pages (node object). So, even if you use this form control for a page type, its value will be blank in the coupled data table. This is because the relationship between the page and its categories is saved into a binding table CMS_DocumentCategory which holds the DocumentID and CategoryID.
So, if you want to select the categories in Settings, there is no page object available thus no value gets stored nowhere. You need to use the general form controls like the Multiple choice, Dropdown list, UniSelector and use SQL query to get the list of categories.