Sounds like you’re sharing the default category taxonomy for both of your post types. When you want separate categories per post type, you would need to create a custom taxonomy for your review posts.
Please check out the register_taxonomy function in the WordPress developers documentation.
https://developer.wordpress.org/reference/functions/register_taxonomy/
See below an example of a custom taxonomy.
add_action( 'init', 'my_review_cat_init', 0 );
function my_review_cat_init() {
$labels = array(
'name' => '',
'singular_name' => '',
'search_items' => '',
'all_items' => '',
'parent_item' => '',
'parent_item_colon' => '',
'edit_item' => '',
'update_item' => '',
'add_new_item' => '',
'new_item_name' => '',
'menu_name' => '',
);
register_taxonomy( 'review_cat', array('review'), array(
'hierarchical' => true,
'public' => true,
'labels' => $labels,
'show_ui' => true,
'show_admin_column' => true,
'meta_box_cb' => true,
'query_var' => true,
'publicly_queryable' => true,
'public' => true,
'rewrite' => array('with_front' => false),
));
}