Not really. You’re in the wrong area of MediaBay:
It’s in the objects list, not in the Filters selection:
Then the Mysterious Input Box will appear, too, at the bottom of the dropdown menu.
Incidentally, it doesn’t matter what’s currently displayed in the object list. It also doesn’t matter where the “Category” and “Subcategory” columns are located, whether they’re nearer or further back. You just need to find one of these columns and click on it in the line of an object (e.g. a Preset).
Trying hard here, If by “object box” you mean Results list (as in your last pic) . The grey bar still not there as you can see from my pic:
I see a highlighted (light gray) row in your image:
If you scroll to the right in the Results List (let’s call it that), do you see a column labeled “Category” or “Subcategory”?
If so, click in the light gray row within that column.
GOT IT!!!
This grey line is NOT always there, it only appears in the Results pane when you
1] You have picked out a sound
2] Your last click was in the CATEGORY column. NOT in any other column such as Ratings or Library Manufacturer.
If your last click is in ANY other column except Category, then you will not see this option.
Clicking ONLY in the Category Column of the Results Pane, shows this box!!
If, for example, you picked out the sound by Rating or CD name or something, then Everything appears the same visually except no line.
Thank you for staying with me on this, it makes sense, when you know, was tricky
Z
PTL, you seem to have found it!? 
PTL? Maybe it’s because I am an atheist it hid!
Thank you!
Z
This is great, some of the new undocumented C15 features. I new about the new search function but I didn’t not notice the new option to make custom categories!
To delete categories you’ve made you simply delete/change the categories/sub-category of any preset you’ve made already, then restart Cubase.
I haven’t been able to test how it works when moving them to another machine but I think it is going to work perfect as these seem to be stored right in the preset itself after being scanned.
thanks
Exactly 
