When searching your Steam library or creating a dynamic collection, one of the filters, under the heading "FEATURES", is called "Achievements". The description reads "Include games that award Steam achievements".
You may think that selecting this option would show you all games that feature achievements, but you'd be wrong.
I made a dynamic collection to group my games that have achievements, and found ~50 games (Yakuza 3 Remastered, for example) that have achievements but were still sitting under "UNCATEGORIZED".
I double checked by searching my library using the same filter, and got the same result.

I tried filtering my library on Steamhunters, and it reproduces the error when using the "Steam Achievements" filter, but not when using their own "Achievements" filter.

I'm not sure what technicality is causing this error, and I couldn't find anyone else talking about it, but I don't want to have to manually sift through my uncategorised games to add them to a collection.