If you have enabled the ‘Enable category filters?’ option on the settings page, and the filter won’t show up in the store locator. Then make sure that you didn’t set a category in the [wpsl] shortcode on the page the store locator is used on.
You can check this by opening the store locator page in the admin editor. If it looks like this [wpsl category=""], then remove the category=”” part.
Also make sure the categories you’re using have locations assigned to them. If all categories are empty, then nothing is shown.
If you’re using a custom store locator template, then try to switch back to the default one to rule out any issues with the custom template.