SQL Server 2017

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create table Request (
  Id int,
  RequestId int,
  CategoryId int
)
insert into Request (Id,RequestId,CategoryId) values
( 1,      112,           1),
( 2,      123,           1),
( 3,      123,           2);
3 rows affected

SELECT distinct R.RequestId,
            (
SELECT  
  JSON_QUERY('[' + STUFF(( SELECT ',' + '"' + convert(varchar(10), RC.CategoryId) + '"' 
FROM Request RC
WHERE RC.RequestId = R.RequestId
FOR XML PATH('')),1,1,'') + ']' ) Categories  
FOR JSON PATH , WITHOUT_ARRAY_WRAPPER 
            ) AS Categories
FROM Request R


RequestId
Categories


112
{"Categories":["1"]}

123
{"Categories":["1","2"]}


SELECT  distinct R.RequestId,

JSON_QUERY(
            (
SELECT  
  JSON_QUERY('[' + STUFF(( SELECT ',' + '"' + convert(varchar(10), RC.CategoryId) + '"' 
FROM Request RC
WHERE RC.RequestId = R.RequestId
FOR XML PATH('')),1,1,'') + ']' ) Categories  
FOR JSON PATH , WITHOUT_ARRAY_WRAPPER 
            )
, '$.Categories' )
FROM Request R


RequestId
(No column name)


112
["1"]

123
["1","2"]