When an article belongs to one or more categories, there's a box that
contains links to the categories that this article belongs to. The
first item in this box is a link to [[Special:Categories|Categories]],
and it appears that this is hard coded (at least, a search for "Special:
Categories" in [[:en:Special:Allmessages]] returned no results).
Please add a new message in the Wikimedia namespace that can be used to
customise this link. For example, some wikipedias might want this link
to go to a help page or a human-edited overview of categories, instead
of to a machine-generated list of categories.