Using separator with wp_list_categories

It looks like the default of the style input parameter is list.

Try something like:

'separator' => '·',
'style'     => 'separator',  // something else than 'list'

to override the list default.

We can see why this happens by peeking into the Walker_Category::start_el() method. There we have the following:

if ( 'list' == $args['style'] ) {
    // ...cut ...
 } elseif ( isset( $args['separator'] ) ) {
     $output .= "\t$link" . $args['separator'] . "\n";
 } else {
     $output .= "\t$link<br />\n";
 }