Hi. It is not clear where you can configure and set the desired menu to display the categories in this place (see screenshot).
Attached files: 2019-02-08_19-59-30.jpg
Hi! thank you for contact us!
In terms of content, that list is generated automatically, that select box will retrieve your parent categories from your posts (excludes subcategories).
In terms of styling, that select box will use your primary color of the admin (theme options -> styling) but if you want to change the look of that select box, just let me know and i will help you (we don't added much options to style that select box).
It is a pity that you can not choose a pre-created menu.