The auto join won't show anything unless you have actual groups already existing. What it does is allow users to select an existing GJ group to join at time of registration. Please create groups from frontend or backend within a published and public category. The groups must also be public and published.

Does this mean that any visitor can access the categories and groups now, even when the direct links (and the panel) have access level "registered"?

Yes, the auto field respects group and category permissions. If the user can't see the group or category without registering then there's a good chance they can't auto join it at registration.