Thanks for the report!
I do not recommend trying to fix the block alignment in individual themes' editor styles. Twenty Twenty-One is the only bundled theme I found that centers the Categories List block's dropdown in the editor, so this would be better to report on GitHub.
Note: the plugin has renamed this block "Categories List" in GB39837. (This might confuse people who have been using the "Categories" block since WordPress 5.8, but that's a separate issue.)
A new Trac ticket could address the front-end margin with the dropdown option of Archives and Categories List blocks. Twenty Ten, Twenty Eleven and Twenty Fourteen have a left margin for the list markup that pushes the dropdown (and its label) slightly off-center. Adding this worked for me in each of the blocks.css files:
.wp-block-archives-dropdown.aligncenter,
.wp-block-categories-dropdown.aligncenter,
.rtl .wp-block-archives-dropdown.aligncenter,
.rtl .wp-block-categories-dropdown.aligncenter {
margin-left: 0;
margin-right: 0;
}