@ Anne
Oh, I see. sorry but grouping by category will not likely ever be a feature because it is not scaleable. For example, many users nest categories many levels deep and assign entries to many different categories. Even with a simple one level deep category structure, even pagination is an issue. This is why you see most directory solutions which allow filtering by category with paginated results. Like you have now with Slim Plus. Grouping by category is only feasible with a small directories with a limited number of categories which are not nested.
May I make a suggestion for your site?
On the category page:
http://www.limabuildingtrades.com/contractors-by-category/
Instead of linking to separate pages for each category, link back to your own directory page. For example, to link back to your directory to display Drywall Contractors using this link:
http://www.limabuildingtrades.com/contractors-alphabetically/?cn-s=&cn-cat=42
Another solution would be to use the Enhanced Categories extension. On the display by category page you could drop in its shortcode and have it display the image grid of teh categories which will link back to the directory. If you choose this option, you should disable the category drop down on Slim Plus.
Hope this helps!