Of course you are still getting the error message saying that the category doesn't exist - because you haven't set it up yet!
1. Put [[Category:Pittsylvania County, Virginia One Place Study]] on the profile you are interested in
2. Click 'Save' - you get the red banner saying there is no such category
3. Click 'Save Anyway' (on the red banner)
4. The words [[Category:Pittsylvania County, Virginia One Place Study]] are in red, but there is no banner
5. Click on the red words
6. In the box which pops up, type [[Category:One Place Studies]], scroll down, and Save Page
7. The words are now green (if not, press F5 to refresh the page). You will not get the red banner on any other profile, unless of course you have made a typo or worded it wrong