The Montage does not allow for categorizing Samples. Perhaps you mean assigning a Category to the Waveform. In the AWM2 tone engine, Waveforms organize Samples into playable entities. So the Samples are "categorized" by the Waveform that corrals them into its fold. You can set a Category for the Waveform in the Montage:
Navigate to the OSC screen. Here's how...

from HOME
Press [EDIT]
Press [PART SELECT] to view the PART in question
Select Element 1-8 using the option along the bottom of the screen or by pressing a button on the the third row of the right hand front panel.
With the Element selected, touch "Osc/Tune"
Now you can see the currently selected Waveform for this Element - move the cursor to highlight the Waveform Name by touching that box.
A Pop-up screen appears that will allow you to SEARCH for Waveforms - define you search to USER... your USER WAVEFORMS will appear in the Category Search box. When you are viewing a USER WAVEFORM you can touch the [EDIT WAVEFORM] box, now you can set the Category and SubCategory, as you desire.