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;