At the moment the 2 options are, when configuring your menu item, to show locations from all categories or some just one. Can I confirm that what you want is to show locations from a sub-set of your categories (and hence the drop down would only show that subset)? If so we may be able to enhance the functionality to support that.
In the meantime you can add this CSS to your jevents custom css file
#filter_loccat {
display: none;
}
and it will hide the category filter