Hello Dean,
I understand why you asking it and yeah it is a little bit odd because the other pages like /latest, /top etc… are working a different way. On those pages the navigation item is appears and active while you on the page.
I think this is because originally Categories is the default homepage on Discourse and as homepage the Categories navigation item is unnecessary when you are on homepage. But I think when it is not the homepage than that would be nice if the navigation item is not disappear, just like on the other pages…Latest, Top, New, Unread etc…
However on mobile view it maybe more confused as it shows Latest while you are on Categories page too.
