That’s not actually a category menu… judging by the page source, this is what they did (best guess).
They created several pages for Connections, one for each of their faculty/staff directories. On those pages, they used the
[connections] shortcode and limited the display to specific categories by utilizing the category shortcode option and then disabled the category filter of the template by using the
enable_category_select='false' shortcode option.
Then on the WordPress Menus admin page created a new menu and added the directory pages to it.
Lastly, on the WordPress Widgets admin page they added a new Custom Menu widget to the theme’s sidebar selecting the new menu they just created.
Hope this helps, please let me know.