I can verify that in both 2010 and 2012 there is no "Test Categories" field for Ordered Tests. In Coded UI tests there are, but I do not see any way at this time to set an Ordered Test to a category.
That is, through the Test View window in 2010, it does show a "Test Categories" property for the Ordered Test. However, attempts at editing the field result in an error when saving the property. So the edit is not saved and the ordered test remains uncategorized.