When I added a dimension as a filter, it shows a filter with pillar icon with dimension. Why it is showing like that?

If you are looking for the reason for the below-

Then it is information about the filter. It says this filter has been applied to other worksheets also. Once you hover the mouse on this, you will get the details like where all it is applied.

I would need a dropdown with a checkbox filter by combining 2 fields- category and sub-category.

You can create a calculated field with those fields and then you can use that as a filter and then format the filter. A calculated field can be created with the following code-

Now allow this as a filter and then format the filter and select multiple dropdowns like below-