Adding a category to a collection is one of the steps needed for the collection to appear in your catalog.
To assign it, navigate to Content and click on Collections. Then select the collection you want to add a category to, and click Edit. Within the Collection sidebar, click on the Appearance tab, and you'll see the Categories section at the top. Select the category you want to attribute to the video or create a new one by clicking on + New Category.
You can assign as many categories to a collection as would like.