The answer to your question is in the post I linked to.
I did not copy that code block in its entirety because I thought you wanted a sorted taxonomy terms list, (I hadn’t read every post above).
In any case it’s certainly doable to render the list as you ask, like this:
{{ define "main"}}
{{ $taxo := "categories" }}
<ul>
{{ with ($.Site.GetPage (printf "/%s" $taxo)) }}
{{ range .Pages.ByWeight }}
<li><a href="{{ .RelPermalink }}">{{ .File.Dir | title }}</a>
<ul>
{{ range .Pages }}
<!-- this also lists the content pages associated with the term;
remove if not needed. -->
<li>{{ .Title }}</li>
{{ end }}
</ul>
</li>
{{ end }}
{{ end }}
</ul>
{{ end }}
Screenshot of end result: