Post Carousel Settings – Build Query Issue

Hi
On attempting to enter a filter in the ‘Categories’ (where it says Click here and start typing) I get a drop down box appearing that shows the Category I stared typing the name of. The category does exist.

Problem I have is that I can’t get it to accept the category. It just disappears completely swhen I move the cursor. I am probably missing something obvious. Could you please point me in the direction of a solution.

Many Thanks