Hello all, although this feature is not inherent in the calendar (but is a very popular request, so it may be included in the next big release, but we don’t know when), we do have some options that can help:
If you visit our tutorials page, look under “Queries, Categories, Tags & Event Loops” and you will see some tutorials on how to display categories creatively: https://theeventscalendar.com/the-events-calendar-for-wordpress-tutorials/
We also have an advanced widget that can display upcoming events from only one category. You could use this and keep adding the widget to the sidebar for different categories, though I know this is not a very finesse solution.
Another thing you could do is use WordPress custom menus to create a sidebar menu leading to the different categories of events.
Hope this helps!