This is a Pathfinder Pro feature.
All tags belong to a category which is used to organize the tags.
Custom categories can be created as a store of custom tags in Pathfinder Pro.
To view and manage the categories, open the Contacts - Tags screen.
Then click the Filter categories dropdown and go to Manage Categories.
Creating a new category
Select + New Custom Category at the bottom of the page.
This will load the New Custom Tag Category page. You will need to enter a Category Name, set a limit for the maximum number of tags or leave it unlimited, and chose a category color so you can recognize it easier in the interface.
You can also choose if you want the category to be displayed in the preference center, for customers to amend.
Once all is done, hit the Save button.