What does ON [PRIMARY] mean?

I intend to complement Mark S.'s ansnwer to add an important note regarding file groups.

Using OP's SQL Script you can never mention two different file groups i.e. one for storing your data rows and the other for index data structure. This is not allowed.

This is due to the fact that the index being created in this case is a clustered Index on the primary key column. Metadata of the clustered index and the data rows of the table can NEVER be two different file groups.

If you have two file groups on your database e.g. PRIMARY and SECONDARY then below mentioned script will store your row data and clustered index data both on PRIMARY file group itself even though I've mentioned a different file group ([SECONDARY]) for the table data.

CREATE TABLE [dbo].[be_Categories](
    [CategoryID] [uniqueidentifier] ROWGUIDCOL  NOT NULL CONSTRAINT [DF_be_Categories_CategoryID]  DEFAULT (newid()),
    [CategoryName] [nvarchar](50) NULL,
    [Description] [nvarchar](200) NULL,
    [ParentID] [uniqueidentifier] NULL,
 CONSTRAINT [PK_be_Categories] PRIMARY KEY CLUSTERED 
(
    [CategoryID] ASC
)WITH (PAD_INDEX  = OFF, STATISTICS_NORECOMPUTE  = OFF, IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS  = ON, ALLOW_PAGE_LOCKS  = ON) ON [PRIMARY]
) ON [SECONDARY]
GO

More interestingly, the above script runs to completion without any error(I was expecting an error as I had given two different file groups). SQL Server does the trick behind the scene silently without throwing any error.

NOTE: But yes, the index can reside on a different file group in case of non-clustered indexes.

SQL Script shown below creates a non-clustered index. The non-clustered index will get created on [SECONDARY] file group instead while the table data resides on [PRIMARY] file group:

CREATE NONCLUSTERED INDEX [IX_Categories] ON [dbo].[be_Categories]
(
    [CategoryName] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, SORT_IN_TEMPDB = OFF, DROP_EXISTING = OFF, ONLINE = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [Secondary]
GO

You can get more information here on how storing non-clustered indexes on a different file group can boost query performance

When you create a database in Microsoft SQL Server you can have multiple file groups, where storage is created in multiple places, directories or disks. Each file group can be named. The PRIMARY file group is the default one, which is always created, and so the SQL you've given creates your table ON the PRIMARY file group.

See MSDN for the full syntax.

ON [PRIMARY] will create the structures on the "Primary" filegroup. In this case the primary key index and the table will be placed on the "Primary" filegroup within the database.

It refers to which filegroup the object you are creating resides on. So your Primary filegroup could reside on drive D:\ of your server. you could then create another filegroup called Indexes. This filegroup could reside on drive E:\ of your server.