I don't have any doco for this , so I'm guessing as to what's supposed to happen here.

In the Adminstration -> global categories page, you can add new categories just fine.  Making new sub-categories works as well, as long as you select the parent category from the drop-down list.  If you choose to create a sub-category by clicking the "add sub" link from the category list however , it does not automatically select that category as the parent.

The category you are "add sub"ing to should be the parent category if you click that link. (by default its "No category")