What are these message categories?

A few months ago,  maybe more, I noticed a new function in my Outlook account that allowed me to assign "categories" to individual messages.  There were several categories already available -- newsletters, bills, shopping, etc.;  I assumed I would be able to view all the assigned messages in any given category.  In fact, I thought I saw an introductory bubble that stated so.  But I can't figure out how these categories are supposed to work.  I've assigned messages to various categories, but there is no option to sort by category.  I've done an on-line search for information, checked the Help section, and finally came here, but everything here related to categories is for addresses, not the actual messages.  If anyone has any information on this feature, please help.