Hi Xabier,
I was assuming that all I needed to do was create a new category (on the original same level as the first) and then edit the one I want to nest to change the parent category.
This I seem to be able to do, I open the category I want to nest and click on the pencil icon to edit the parent category.
The window opens and allows me to select, in this case "Primary Campaigns" - but there is no "OK" button or "Save" button as there is in other popup boxes - so although it appears to do what I want it to do, I cannot save.... I'm sorry if this is obvious, but believe me, I've been looking at the screen for almost an hour!