Index Match formula issue

If you're returning a text value (as opposed to a numeric value) you can add &"" to suppress a 0 result:

=IFERROR(INDEX(Categorisation!E:E,MATCH(Data!Z18,Categorisation!F:F,0))&"","")

Just so you're clear: the IFERROR() suppresses an #N/A error when the reference cannot be found (as your first post says).
The &"" suppresses a 0 result when the reference is found but the associated cell is blank

EDIT: TMS - what are you doing still awake?? Waiting for the Mars landing??