SQL ON DELETE CASCADE, Which Way Does the Deletion Occur?

Cascade will work when you delete something on table Courses. Any record on table BookCourses that has reference to table Courses will be deleted automatically.

But when you try to delete on table BookCourses only the table itself is affected and not on the Courses

follow-up question: why do you have CourseID on table Category?

Maybe you should restructure your schema into this,

CREATE TABLE Categories 
(
  Code CHAR(4) NOT NULL PRIMARY KEY,
  CategoryName VARCHAR(63) NOT NULL UNIQUE
);

CREATE TABLE Courses 
(
  CourseID INT NOT NULL PRIMARY KEY,
  BookID INT NOT NULL,
  CatCode CHAR(4) NOT NULL,
  CourseNum CHAR(3) NOT NULL,
  CourseSec CHAR(1) NOT NULL,
);

ALTER TABLE Courses
ADD FOREIGN KEY (CatCode)
REFERENCES Categories(Code)
ON DELETE CASCADE;

Here is a simple example for others visiting this old post, but is confused by the example in the question and the other answer:

Delivery -> Package (One -> Many)

CREATE TABLE Delivery(
    Id INT IDENTITY PRIMARY KEY,
    NoteNumber NVARCHAR(255) NOT NULL
)

CREATE TABLE Package(
    Id INT IDENTITY PRIMARY KEY,
    Status INT NOT NULL DEFAULT 0,
    Delivery_Id INT NOT NULL,
    CONSTRAINT FK_Package_Delivery_Id FOREIGN KEY (Delivery_Id) REFERENCES Delivery (Id) ON DELETE CASCADE
)

The entry with the foreign key Delivery_Id (Package) is deleted with the referenced entity in the FK relationship (Delivery).

So when a Delivery is deleted the Packages referencing it will also be deleted. If a Package is deleted nothing happens to any deliveries.