As far as I know, it's not possible to preselect an event category in the module settings.

Another possibility:

1. Create your event categories
2. For each category, create an events module instance and enter only those events that belong to the desired category.
   Disadvantage: if you allow other people (users, event moderators, ...) to enter new events, I don't see a way you can force them to  use the appropriate category only!
3. Create another event module instance that collects all events from all categories: in the "SubCalendar Settings" section of the module's settings, check the "Include Other Site Events Modules" option and add the other (categorized) event modules

Hope this helps a bit!