You can create your own image folders to categorize images in Image Manager, under "My Images". At “+ New Folder“, click it to open Folder name field, and name it as you want.
To move images from All Images to your own created folder, just simply drag and drop it. You can also select multi images in one time by dragging the mouse over them and dropping to the destination folder.
**To delete the image(s) from your created folder, please MOVE image from the folder to “All Images”. And please be noted that the “Delete” function will mean to delete it from Image Manager and your website, not only from the folder. So make sure you remove it from page in website to avoid broken image displaying after republishing.