Categories are the pages within the dashboard. But they also control access to other elements in the dashboard.
The following items are linked to categories.
Layouts
Charts
Filters
Reports
Data Connections
Objects within data connections
By creating categories that are allocated to different tenant's user accounts you can control everything that they can see. You can create multiple categories for a tenant, or even share categories between tenants. It all depends on how you want to control a users access.
Roles control privileges. This allows you to control what functions within the dashboard a user can access.
Roles can also be used to group categories together, to allow you create simple bundles of user access and privileges.