As discussed in this forum post (https://forums.autodesk.com/t5/revit-api-forum/adding-a-category-to-a-project-parameter/td-p/9112847) to change the categories associated with a project parameter via API, we need to use the Reinsert method of the BindingMap class. The problem is that this method clears the existing parameter values.
So, I wish there was a way of change the categories just like we can via the user interface.