This option works for menu, but you use woocommerce widget here http://prntscr.com/gnx2r8 http://prntscr.com/gnx2uq, I’ve added menu widget into your custom sidebar http://prntscr.com/gnx47y but stylings of this element are different http://prntscr.com/gnx4ol Please check.
if you want to use category element, you may add this code in custom css http://prntscr.com/gnx7f2:
.home .widget_product_categories.sidebar-widget ul li:first-child a:before {
font-size: 16px;
color: #999;
font-family: 'FontAwesome';
display: inline-block;
content: "\f2c1";
margin-right: 10px;
}
Regards