If the options have “visual” impact on the website, consider using the customizer, it gives immediate visual feedback on what changing a value means.
If the settings have no visual impact on the website, then maybe they don’t belong in the theme after all, but in a separate plugin.
There are always edge cases, so if the options are really related to categories, and have no visual impact, but you still feel they belong in the theme, then could make sense to put the menu entry close to categories.
But if you have other options, then I would suggest against spread the options in different submenus, because themes can be easily switched, and if you have all theme options in one place it is easy to understand what you loose switching theme. In fact,
if you put something in the under the main “Posts” menu, users could easily and rightfully assume that is a core functionality.