What should robot be set at for categories ? I heard they should be set at "index no follow" for categories. For articles ? For menus ? 


Robots field used for search engine, default is "index, follow" (set in Global Configuration). Change setting to "noindex, nofollow" if you do not want search engines indexing your contents.

You have a common setting in the Global Configuration, and separately for each different item. You can set different for each Category, Menu, Article,...