It took me awhile but I found this page:
https://codex.www.ads-software.com/Template_Tags/wp_list_categories#Display_or_Hide_the_List_Heading
It describes how you can remove certain categories from your list. This would seem to indicate the logic behind giving the option to include up to 9 category lists; in theory you should be able to create multiple category lists but then go in and exclude certain categories so you ultimately get several “groups” of categories with their own heading. The thing is, I don’t see how to do this. Here’s what I did so far:
I created these six categories for a test and assigned them to posts:
California
Florida
London
Liverpool
Montreal
Toronto
I wanted to display these cities as three groups of categories with a heading for the home country:
UNITED STATES
— Florida
— Texas
UNITED KINGDOM
— London
— Liverpool
CANADA
— Toronto
— Montreal
I created three category widgets and named each with the home country. This resulted in all six cities showing up under three category lists on my blog.
I looked in each php script in the theme editor to see if I could spot the one that was calling for the three country categories so I could exclude certain cities from each, but I could not find this anywhere.
My next step is to look at the widgets.php file within WP but I thought I’d post here to see if anyone has a better idea.
Thanks!