Are you using the Horde 3 framework? I did this, I went to Calendar, new event, typed a title, Under the category drop down box, chose new category, set everything else, then clicked save event and was prompted for my category name. My new categories show up under my calendar. I can click on the category icon and change my colors.
Is that what you want to do, and is that what you are doing? One thing I did find out when doing this. When I click on the categories I new window opens up, and when I save the settings I now have 2 sessions, so I had to refresh one of them to see the new category colors.
JB