Retention Category Change

You can export the archives directly to the mailboxes. The Enterprise Vault shortcuts will be removed and replaced with the original item. Use the export wizard option "Export archives to their original mailboxes" > "Export all items". After that, verify the mailboxes to confirm that all the items were exported correctly, disable the mailbox for archiving and delete the archive. Then, you can reconfigure the provisioning group and re-enable the mailboxes for archiving using the correct retention category.

I hope this helps.

Also, exporting the archive to PST doesn't delete the items from the archive by default unless you select "Export all items from this root folder path" in the export wizard and "Remove exported items from archive" is selected.

Did you run the Enterprise Vault Provisioning Task after updating the managed folder retention in Exchange? If so, try to refresh or reopen the EV Admin console. The Enterprise Vault Exchange Provisioning task performs the synchronization with Exchange managed content settings. Also,  you can change the name and description of a managed folder retention category in the console.