Darn pesky thing.  Your default link category is set for Blogroll.

You add another category but you still can’t get rid of Blogroll – nor change the default to your new category.

You might think the setting for default like category would be some place in “links” menu. Wrong.

Find it under Settings -> Writing up at the top.  You will see “default link category” and a dropdown box with all of your categories in it.  You did add a new category right?

Add a new category, then you can change your default to the new category, then you can go back to Links -> Link Categories and delete Blogroll.

Not complicated but tricky if you don’t know where to look.