The reason for this is: When settings for shipping methods as well as product categories are added in the Custom Delivery Settings, then the priority will be given to the settings of shipping methods.
The solution is: You can create all custom delivery in the combination of product categories + shipping methods. For example
1. Create the custom delivery setting for category A + Shipping method A
2. Create the custom delivery setting for rest of the categories of the site + Shipping method A
Refer to this documentation for any further queries.