Hey Jean-Louis and thanks for reaching out!
Filter Bar will allow you to filter events by Event Category, but I’m afraid that neither it (or events as a whole) make use of the general Post Category functionality in WordPress.
That said, you would be able to create a custom field with Events Calendar PRO and use that to create additional filters in Filter Bar, using the instructions outlined here to do it.
Does this help answer your question? Please let me know. 🙂
Cheers,
Geoff