Not sure if I got you right. Are we just talking about grouping icons in categories to organize them better or do you want to have so called “nested components”?
To achieve something like that:
component swapper window
and
components panel
You just need to name the individual icon components like “Category 1/32px/Icon-Name” for example.
All the icons you can put in an frame named “icon” and group them with additional “category”-frames which however do not have any impact on their pathing but they help organizing your icons because you can use auto layout to stack them etc.
Have in mind, that you can also use the component description to add aditional information that is shown in components panel while hovering over a component.
I hope this helps.