Have you seen the end of the page where says?

Sports Categorized by Letter:
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

I think that Google works with a new field, a few subroutines and template to make this, it can be something like that:

Field = alpha (YES,NO)
Sub1 = make list alphabetically of all categories wiht alpha (YES) (example sub alpha_bar)
Template = <% if alpha = yes%>Categorized by Letter:<br><%alpha_bar%><%endif%>

Google select the category where wants to show the Sports Categorized by Letter: only in /Sports - /Sports/College_and_University - /Sports/Soccer. This one can make with category template.

What do you think?

Cheers!

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Nomada