BUT, I cannot find a way to add the categories to the Blog page (Blogg). If I add a text block and try to pull data from the Categories - only the text options from the Blog Posts collection appears in the list.
Multi-references that are linked to a collection, can be displayed on the Blog Post template page, showing all categories for the current blog post. For dynamic lists placed on static pages, it is possible to display single item references, but not multi-reference field values. That’s why you are unable to see your collection in the list.