The Categories add-on allows you to assign categories to your feed sources. You can then display a particular category or multiple categories of feed items via the shortcode.
What this add-on allows you to do is to assign your feed sources to categories. That way you can then display feed items imported by feed sources of a particular category on a given post or page (via a shortcode parameter).
Thus, you can have one page displaying feed items from the ‘Entertainment’ category (or any other category you create) and another displaying feed items from the ‘Sports’ category.
IMPORTANT: The categories created by the Categories add-on are not the same as the WordPress Post Categories. They are only to be used by, and for, the Feed Sources you create for WP RSS Aggregator.
Categories is NOT compatible with Feed to Post. Feed to Post already includes the categorisation functionality needed for importing posts, and does not use feed source categories in any way.