How do I highlight the active category?

Add the following CSS to the theme’s custom CSS area found in the Customizer:

.widget_cnw_categories li.cat-item.current-cat {
    background-color: #666;
    padding: 6px 12px;
}

.widget_cnw_categories li.current-cat a {
    color: #fff;
}

Tweak the colors as desired.

Important

You must disable the Category widget fragment cache in order for the custom CSS code function properly.