"Attach Nodes/Categories" not working if we have sub-categories in our Pages db

I have database with categories and sub-categories. Then I created a menu item - page > application, select my db's page and then select option "Attach Nodes/Categories". Then publish updated menu. Nothing happened, categories are not shown.

Changed Status from Pending to Work in Progress

Changed Status from Work in Progress to No Response

Changed Status from No Response to Closed

Changed Fixed In to Next Version