>From the Category Filter window I have to click Add whcih takes me to the category list. I click on a category of the list and this ADDs it to my selected categories that I do not want to display. This to me is ADDing the categories to a no-display list. If there is another way to do it I would love to hear about it.

You're doing it the right way. That is the way we use for most of the other options. As the number of items to select from may vary from such a list to thousands of entries, this is why we use it like that. I wouldn't want to have checkboxes and check for those you want to have.