Hello,
it already works that way. Add a category link label, something like 'Read more...' and a link will be created under each news item (if there are several categories) or under all the items (if there is only one category). It won't show the category name, however.

The feature you are requesting is only available in the paid version of the module. However, I do agree that it could also be part of the free version. There is an update in the works so I will add this feature to it. Expect a few days before release (at most a week). If you want the module sooner and not wait for the release, I can send you an early beta version for you to work with until it is released. Send an email to [email protected] if you want the early release (allow a couple days for the beta). Otherwise I will assume you will wait for the full release.