You can’t add “Uncategorized” in the sidebar on meta either.
I think it’s intentional or an oversight (is Uncategorized a category? 
).
Maybe suggest in Contribute > Feature sidebar to make it possible to add “Uncategorized” in the sidebar.
Just to be sure we’re talking about the same thing. We’re talking about “Uncategorized”, not the “General” category present by default on Discourse installations, right?