When uploading/adding a budget in Xero, you can set filters for the Tracking Categories that will be applied to this particular budget.
You can either select one of the existing tracking options or use one of the following:
Unassigned - Empty value
All locations - Any existing value of a Tracking Category
Do not filter - this is a combination of the two filters "Unassigned" and "All locations", i.e. any existing value of a Tracking Category or an empty value