Enable navshowmycoursecategories and navshowcategories in Site Administration --> Appearance --> Navigation
Let navshowallcourses disabled.

When you click on "My Courses" everything is in a category (so far it is expected), when you click on a category you will see all courses in this category not just those you are enrolled in (expected was that you just see the courses you are enrolled in, but have somehow the ability to switch the display to show all courses if needed i.e. for enrollment in a new course).