It would be nice if the future updates of GOG Galaxy get this function through.
It's a no brainer, custom sorting of the various titles in our Libraries would be awesome :D

If tags are what you're referring to by "categories", then isn't it something that you can already do? I don't know whether the feature exists in GOG Galaxy or not though, since I'm opening GOG via a browser and not GOG Galaxy.

Just move your cursor over the "My Tags" (or just "Tags") box located on the upper right corner of the library page, click it, and then click "Manage Tags". From there, you'll be given the freedom to create and add your own custom tag or category for the games in your library.