Since you haven’t provided any clues – such as the settings you’re using – I’m guessing that you may have set Children Of to one of Current Item, Current Parent Item, or Current Root Item, and that the widget’s configured menu does not have an item that points directly at the post in question. If there is no current menu item found in the configured menu, then there will be no output from the widget.
Alternatively, you could have set Must Contain “Current” Item, which, again, would result in no output from the widget if it failed to find current menu item within the configured (and filtered) menu structure.
[ Of course, I could have completely misunderstood your problem, but since Custom Menu Wizard only deals with items from a WordPress custom menu, and it has no idea (nor does it care) what those menu items might represent, there is actually no such thing as a “Category in Custom Menu Wizard”. So I can only assume that you have a menu item that shows you a Category of posts, and that when you click on one of those posts, the widget no longer produces any output. ]