Categories for PMs is still not a thing, though the ‘tags for PMs’ that was introduced for staff has now been opened up to be a group allowed setting (pm tags allowed for groups), so you can add a trust level to that, or a more specific custom group, and they’ll be able to organise their PMs with tags. 
It may also be useful to allow that trust level/group permission to create tags as well (create tag allowed groups) depending on how your site is organised.