It's a long-standing issue, and will be fixed in an upcoming release...
When you shift-select or ctrl-select multiple categories in the Categories Pane and press delete, you get the confirmation dialog, but only one category is actually deleted.Correct behavior: all selected categories should be deleted
This issue has a long history:
5 years ago: viewtopic.php?p=172587
6 years ago: viewtopic.php?p=163376
9 years ago: viewtopic.php?p=139924
16 years go: viewtopic.php?p=82591
In the initial report from 2010, Pierre responded to look for a fix in v0.30.
It's still here.
So it's time for this one to be fixed...