Hello,
Yes, this is not possible. But i've plans in the future to add "groups" for category, and a different approach for categories as the one for Joomla (my goal is to have a more flexible system).
For now, all depend on what you want to do, but maybe you can use the "Features" system working as Icon tags (but icon is optionnal, and with no image, it would work as a menu filter for the list of events).
Could you provide a detailled example of your needs and what you want to achieve ? (any need and request would help to build future functionnalities, if current solutions in iCagenda are not enough)
Best regards,
Cyril