This is a bug that I've reported. You can categorize multiple items by using the pull-down menu or context (right-click) menu, but you cannot use the button in the right pane to do it. Furthermore, if you are categorizing large numbers of uncategorized media, there is another bug. The speed is related to the number of items you have in the media category you're viewing (generally uncategorized). If you have say 1,000 items in your uncategorized bucket, for example, it could take several hours just to categorize a few dozen media. It's best, therefore, to stay on top of your media categorizing to avoid suffering from the bug.
Incidentally, if you synchronize with AMT and consider AMT your primary tree, you will lose all these categories if you have to download your AMT again. Heads up.