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How to enable EDD Category on the menu?
1. Go to the Menu From Appearance > Menu
2. Click on the screen options from the right hand side.
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3. It will expand a tray. After expanding, check your necessary items from here. Like we need to check the Downloads category right now.
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4. Now you can see the Download category on the left side of the menu.
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That's it! You can add categories to the menu.