Good evening Denis and welcome to the Events Calendar Support forum!
Thank you for reaching out to us.
I would love to help you with this topic.
The full view calendar (like the month view) does not currently support multiple categories. The only way to use multiple categories currently is with Pro widget shortcodes: https://theeventscalendar.com/knowledgebase/pro-widget-shortcodes/
The good news is that this feature is planned for future release. Unfortunately, I cannot commit to a release date at this point. But stay tuned, you will be contacted when the it is released.
Have a good weekend,
Geoff B.