Create a new volume discount
Reach the edit volume discount page
Change the 'Scope' from Global to 'Selected Items'

Now, you immediately see the link below to choose categories and/or products to assign. Go ahead and do that. Click Categories and select a few categories.
After you make your selections on the Select Categories page, click the Save and Close button. Category assignments are now saved to the volume discount.

You are returned to the edit page again. Except your Scope is back to 'Global'. If you change it to Selected Items, you can see categories are assigned.

The volume discount object is now in a flawed state. Categories are assigned, but the scope is still set to Global.

When changing the scope of the edit page, you need to save the discount object immediately. Otherwise the scope setting is lost if the user goes directly to assigning items before they hit save on the edit page. Few people are going to realize or notice that the scope has reverted back to Global with how the UI is currently designed.