To delete many Categories at once, hover your mouse over the Manage button in the header menu.
A drop down list will appear.
By selecting the option "Categories", a new page will open up with a list of all your Company's Categories.
Select the Categories you wish to delete.
On the top right hand side of your screen, to the left of the export button, is a smaller button marked with an ellipsis "..."
When you select the ellipsis "..." button, a drop down list will appear with a single option "delete selected".
Once you click this button, all the selected Categories will be deleted.