Is it possible to create category for only one site in a multisite setup?
While this was originaly scheduled for Craft 3.2 (https://github.com/craftcms/cms/issues/2122) this was not in the 3.2 release. Brandon mentioned on Discord (link) that categories will be going away altogether in Craft 4.0:

Here is his comment:


  tags and categories are both going away in Craft 4.
  3.x (maybe as early as 3.2) will see a big update to Entries fields, where they will be able to behave more like current Categories and
  Tags fields, if desired and 4.0 will just convert all existing
  categories &amp; tags over to entries


So as it stand, I wouldn't use categories anymore and use structures instead.