My wife and I are retired and have paid off our Mortgage. Many budget categories I no longer need. However I noticed if I remove them it affects all previous budgets.
You can't delete them, but you can hide them. Go to Tools → Category list and select the hide check box for the one(s) you want to hide.
There's no reason in the world to delete Categories that you no longer need as you actually, really used those Categories in the past and they need to be there for proper historical reasons. Just hide them.