From that page:
Using a category to classify dynamically created jobs will help to maintain our system clean and easy to administer.
..so it sounds like a good idea, but not essential (if you leave it out, you'll need to change other parts of that tutorial to make it work).


If you (or someone else) can get permissions, I would recommend running this beforehand, as it will probably simplify things later.

From Books Online:
Permissions
Only members of the sysadmin fixed server role can execute sp_add_category

Remarks
sp_add_category must be run from the msdb database.