Hello,
Sorry for the inconvenience and for taking your time for this issue.
As I cannot visit your site’s plugins page, I am not sure about the version of wpdm free and wpdm extended shortcode you are using.
However, if it is outdated, please update those to the latest version 3.2.64 and 3.0.4 respectively.
I have again checked the issue in my development environment as well as here. Everything is fine. The categories are correctly arranged. You can edit the page from here with username/password demo/demo. but in your site example page, I see order asc/desc is not working.
There could be other issues in your site. In this case, I would suggest running a conflict test. You need to run a basic WordPress conflict test on your site to detect what actually causes the problem. To troubleshoot the issue, please deactivate other plugins except for WPDM with WPDM extended shortcode. Then check if the issue still persists. If that solves your problem, activate the plugins one by one, and continue checking the issue. In this way, you will be able to detect which one causes the problem.
Regards
Tanvir