Hello Sean,
Yes, you can create categories in the Events Calendar Pro, however you will need to do a bit of customization to either:
Colour your categories: https://theeventscalendar.com/coloring-your-category-events/
Integrate post tags and categories with events: https://theeventscalendar.com/integrating-wordpress-categories-tags-with-your-events/
Use our Advanced widget to display upcoming events by category.
Or you could create a WordPress custom menu to let users filter by drop down, and make sure you categorize all your events, the same way you would categorize posts.
You could of course, also use the regular “Search” widget in WordPress, but that would search your entire site.
There are other creative ways to do this, and we created a Themer’s Guide to the Events Calendar for such bright minds 🙂
https://theeventscalendar.com/themers-guide-to-the-events-calendar/
Let me know if there is anything I can help with!