Well, yes you are in the right track to set up the slider in your homepage.

In the Select Slider Type -> ‘Featured Category’ option you would be able to select under which category you want to show the slider.

You can choose this category right below another select option Select Category .

Make sure the posts under this category have the featured image uploaded to each of those posts.

To upload the Feature Image go to each particular posts editor section and you would find Feature Image section to upload the your post image.

You can get more other flexible options to show up your slider images from pages, posts, featured images, etc thus giving you more controlled options for the slider.

Consider checking WEN Business Pro features as well if you wish to have more controlling features through Customizer in your theme.

Let us know if you have any other confusions as well.