If I'm reading your problem correctly
From the back office, you need to go to products / categories make your categories and subcategories once you have created a list of categories they will appear in that box to create your menu
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If Im reading your problem correctly
From the back office you need to go to catalogue on the left then categories and create them using the add category button top right. once you have created a list of categories they will appear in that box to create your menu