Hi Michael!
Thanks for getting in touch with us. Let me try to help you with this topic.
The Filters Default State option in the Filter settings (Events > Settings > Filter tab) will only define the state of the filter bar and not each filter.
Unfortunately, there is no built-in option to make the categories open by default. However, you can choose a different type of filter for the Categories like Dropdown or Multi-Select if you think that is a better styling for your needs.
Another option would be to make a customization that could open the filters once they are load, which of course would require some custom coding.
I hope that helps. Let me know if you have any follow up questions and I’ll be happy to help.
Best,
Victor