Ah, I see. I think you’re not finding a match because the setting is named “default navigation menu categories” (and “category” isn’t a match for “categories”).
Because you got answer, here a extra cherry just to think about
there is already easy access route to categories
for mobiles putting all categories to the sidebar makes it really crowded (unless you have type max 5 categories)
mobile users must open the sidebar to see categories and then it hides other content totally
categories of the sidebar is something that users can customize. Then hiding all not-so-important ones gives much more pain than letting users decide what categories are important to them