Dropdown component with custom choice level

Not in the exact format you describe. But you could have two dropdowns, where in the first you select the category (the items that are in bold in your screen shot) and, depending on which category you pick you get the subset of items displayed for selection in the second drop-down.

Stewart's suggestion is the standard way of handling this.  In fact it doesn't even need to be two dropdowns, just two "multiple selectors" - if the "headings" will be a relatively few options (let's say 2 - 5 or so), you could instest show those as a horizontally-configured Radio Button selector, where the selected radio button changes the choices available in the dropdown.  Or any number of other options. 

I feel like you'd have a much easier time with these design decisions if you spent a bit more time becoming very familiar with the available Appian components and what they can (and can't) do.  There are LOTS of nice options, most are VERY easy compared to conventional UI programming, but you really need to know the options and constraints to give proper expectations-setting to "requirements".