You might see the Uncategorised category is already defined by default in your website. The Uncategorised category is used for articles that really don’t fit in any other category. It’s most used for small sites with only five or six articles; with so few articles, you wouldn’t really need to divide them into categories.
Larger sites (maybe yours) will have other categories already established and the Uncategorised item already removed - no problem if that is the case.