Custom Post Type Categories

Hello, i recently started using WordPress. I am using a theme called GamePress. The theme includes two custom post types, one titled Game Reviews, and one titled Videos. I enjoy creating posts with these rather than “Posts” because they allow my to easily add extra content through the theme. The theme uses a menu system on which i can order all of my posts by categories. When choosing the categories to include on the menu i can select from any created in Posts>Categories. However each type of custome post uses it’s own category system, and i cannot select to include any custom post type categories on the menu. My issue is my inability to do one of two things; file my Game Reviews, and Videos in the Posts>Categories, or use the separate Game Reviews>Categories, and Videos>Categories, on the menu, allowing easy navigation of all post types of contents on the website. Your help is greatly appreciated.