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The first option on the page is to set a default post category. Click on the drop down menu next to it and select the default category you would like to use. Don't forget to click on the save changes button to store your settings. WordPress will now use the category you selected as the default category.
If you have wanted to Change or Rename the Uncategorized Category in WordPress, then you’re not the first one. Wordpress creates an uncategorized category with its default post "Hello World", this is also being set in setting - Writing - Default Post Category.
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