You'll notice that Macys doesn't actually do what you have described. For example, the category "shoes" appears only once in Macy's list. There are no repeated categories. For good reason. So your example list above, with the T-shirts, Socks and Shoes repeated under each heading won't work.
But in a general sense I can see where it would be handy to be able to add arbitrary text into the category list as section titles.
I'm not an expert in this, so I'm just thinking out loud, but here goes...
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Name your categories uniquely. So you'd have to use Men's Shoes, Kids Shoes, and so on.
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Add extra category boxes, one each for Mens, Womens and Kids. (I can't remember if you can do that in Zen as it is, or you have to add a mod to do it.)
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Style your category boxes and their backgrounds so they look like all one space with the category box headings looking like section titles, just as on the Macys site.
The above is a bit vague because I've haven't done this myself. But I believe it could be done.
Hope this gets you going in the right direction.
Rob
Breakfast: the most important donut of the day.