Without a CSS upgrade and working knowledge of CSS, I think you’re pretty much stuck with that for that particular theme. Because the Categories widget is a prefab widget, you don’t really have a lot of room for playing around. If you use a text widget instead and put the links in by hand you should be able to include a spacer of some kind, hyphen or otherwise, and change the colour of it to the same as the background colour, provided you’re decent with code.
A workaround is to compose the widget as if it were a post, use the Advanced Toolbar options to get the colour change, and then click to the Code view to copy the code. That can work, depending on whether the colour or a reasonable facsimile is available.