Customizing/Changing any bit of text (actual code snippet is at the very bottom) — or using the Say what? plugin (third-party, not guaranteed or supported by us) might be easier to setup and use to do the same thing as our provided code snippet
Please let me know if you need any further assistance.
You can change that to whatever you want by going to wp-admin > Events > Settings > Filters tab > Active Filters area > open the Event Categories filter > type the text you want users to see when using Filter Bar