Thanks for the link. I've had a look at the source-code and I have come up with two ways to resolve your problem:
If you want to keep the dots next to the category headings, simply wrap the shortcode in
</ul> tags. (You will need to use the HTML editor, not the visual editor.)
The other option is adding the 'category_before' and 'category_after' arguments to the shortcode and changing the lt;li> and lt;/li> tags that surround the category into div tags or something similar.
[bookmarks exclude_category=42 category_before='<div id=%id class=%class>', category_after='</div>']