Hi,
You'll be able to do that by :
- Going to your product configuration page
- Using the Add button of the "Categories" tab
- Selecting the "product category" through the "Explorer" tab
- Clicking on the "SALE" blue link
EDIT
My bad, the problem is coming from the fact that you have created your SALE category under the "root" category instead of the "product category", so before adding your SALE category to your product, you'll have to :
- Go to your "SALE" category configuration page
- Set the "parent category" option of your category to "product category"
Then it should do the job.