wp_list_categories() starts its output with a <li>, so you don’t have to write it yourself. What you get (check your source code) is:
<ul>
<li>
<li class="categories"><strong>Categories</strong>
<ul>
<li class="cat-item cat-item-6"><a href="http://shs.merms.info/category/article/" title="View all posts filed under Article">Article</a></li>
<li class="cat-item cat-item-3"><a href="http://shs.merms.info/category/awards/" title="View all posts filed under Awards">Awards</a></li>
<!-- More items -->
</ul>
</li>
</li>
</ul>
<li><li> is invalid and gets converted to <li></li><li>, giving you an extra bullet. You should remove the <li>...</li> around your call to wp_list_categories().