Category pages

i have the edd categories widget but each time i click on a category they say page not found so

1- to i have to create a page for each category using the [download] short code ?
2-is there a way to dynamically create the pages or use a query how ?

thanks

and a not so important question
when can i make change the tag used for the links of the files “currently its using h3 while i want it to be smaller “

https://wordpress.org/plugins/easy-digital-downloads/