About categories, I don’t think there is a setting for that. However, the sidebar follows fixed_category_positions setting. You can achieve similar results, I believe.
About tags, You have the default navigation menu tags setting.
If you want tags sorted, you have the tags sort alphabetically setting.
Now I see no tags can be displayed on my sidebar, at the same time no tags stored anywhere after I created tags.
I see the real problem is I can only create 2 words tags. If I try to create 1 word tags, no tags are really created. How can I create both 1 word and 2 words tags?