Is the list of categories hierarchical? and when you need the list of all categories, do you need the rest of the data attached to it?
The second approach is going to be easier to work with. You can then get the list of all (used) categories directly from your index. If there is no hierarchy involved, you can maintain a collection of Category documents too. If there is hierarchy, you probably want to have one large document with all the categories - at least their IDs.