Hi,
I don't know on which page you get that error and when do you get that error (on which button did you click?) so I can't answer you.
That error message is displayed automatically on any listing in the HikaShop backend if you click on a button which requires that you tick a checkbox from the listing below in order to do the action.
For example, if you click on the delete or edit button on the products or categories listing without selecting any product or category in the listing below, you'll get that error.
Normally, you edit or create a product and in the product edition page, there is categories area where you can click on the "add" button in order to add a category.
Another method is to click on the name of the category in the left explorer of the products listing page and from there click on the "new" button. That way, the current category will already be set in the product edition page without doing anything. So it's actually faster that way.