Go to:
Categories → Add new
You will see three tabs:

This is where you define the category itself.
Save your changes after editing.

Open a category and go to the Products tab.
Here you can manually assign products to the category.
The selected products will now belong to this category.
You can:
This gives you full control over product categorization.
Open the Limitations tab inside a category.
Limited to store, when enabled:
This is useful when:
Always save after making changes.