By default, the category menu of tx_news shows all categories.
How it is possible to display only categories to which at least one news entry exist?
It is annoying for the user, if he clicks on a category but the are no news yet under that category.
It is impossible to know from the extension point of view what "is used" means as this could be restricted by a folder, additional constraints like time, archive, ...
Therefore this feature is not available by default. If you need it, create a simple VH and use the category as argument and then check with a DB query if this category is used in your project.