Link Categories will not save

I am having an issue on a wordpress website I run. The site is knoxshots.com

My problem is that when I make a new link it will not save as any other category. I have several categories setup ex. affiliates, sponsors. I can set the new link to one of these categories, but when I click save changes it just defaults to the ‘blogroll’ category and does not save my changes. any help would be greatly appreciated!