When editing my tool, I selected to have a dedicated discussion board for it.

It says I can create categories, but I didn't find any button to create categories, only topics.

How do I do that?

I want to create a category for "feature requests", another for "bug reports", and so on.

Maybe this is something entirely different, but you can create topic tags, by selecting Edit Game, then in the More menu at far right, select Discussion Board. For example, I created a bug report and feature request tag just now (so I haven't really tried them out), and this is how it looks when posting a new topic.