Catequesis literally means "catechism", which is formal religious instruction, especially for Christians. It's a very unusual and intellectual word to find in a trap song!
Arcángel uses it with powerful irony. When he says "te vamos a dar catequesis" (we're going to give you catechism), he's not talking about religion. He's using it as slang for "teaching you a lesson" in a street-smart and forceful way, schooling his rivals on who's in charge.
This is one of the all-time great bragging songs in reggaeton. Arcángel and a young Bad Bunny are calling out everyone who pretends to live a life of luxury and danger that they don't actually have. The whole point is in the title hook: "Tú roncas cabrón y tú no vives así" (You talk a big game, asshole, but you don't live like that). They spend the entire song listing all the ways they are the real deal, from buying million-dollar mansions for their mothers to being so powerful they have "Cristianos orándole a Messi" (Christians praying to Messi).
They paint themselves as untouchable bosses who have earned their status. Arcángel makes it clear he's a veteran in the game who never left, while Bad Bunny comes in with some wild and aggressive lines about being the owners of the "ferretería" (hardware store) when others just brag about their guns. It's a song full of confidence and clever threats, where both artists declare they are exactly who they say they are and they're never going to change.