Do Tracking Categories affect how Budget Checking is applied to requests?

Do Tracking Categories affect how Budget Checking is applied to requests?

Yes, Tracking Categories do have an effect because they are a filtering option.
If you upload a budget for a specific Tracking Category, it will be applied against the line with this Tracking Category+Account. 

Please note: the overall budget, which is set without Tracking Categories, will be applied to both: items with and without Tracking Categories (because in this case, there's no filter set for a Tracking Category):