UPDATED: November 15 2013
However, if at any point you would like to delete one of these categories, go to the “Filter Segment” menu, and click the “+” symbol provided above the “Categories” field:
A new window will appear listing all categories that have already been created. Find the category that you would like to delete, and click the “X” button provided to the right of it. Doing so will remove this category from the list. To save your changes, click the “Update” button provided.
Note that a category can only be deleted if it is not associated with any of your open-ended responses. As such, you would need to ensure that this category is removed from all of your open-ended responses before you can delete the category.