Is this a BE Page you created thru the BE control panel?
If so, you're sort of in luck because BE has the capability to dynamically inject controls into a Page. However, it looks like as it is, the control you inject needs to be a physical ASCX file, whereas the Category List control is a compiled control.
But this is simple to workaround. If you create a new file in the BE root called "category_list.ascx", and put the following 2 lines into that new file:
<%@ Control Language="C#" AutoEventWireup="true" EnableViewState="false" %>
<blog:CategoryList runat="server" />
Then, in your BE page, you can use this special markup to inject the user control:
Type or copy that into the WYSIWYG editor for the BE page. When the BE page displays, you should see the Category List in the page.