The 1.9.7 Plugin update removes Categories importer from Tools > Import options within the WordPress Administration. This has been replaced by an integrated Categories-generator at import time within the Product importer. You can now set up your store in a single import of your store catalogue.
As always, you can link Products to parent-child formatted Categories using the ‘>’ (arrow) character or even assign Products to separate Categories using the ‘|’ (vertical pipe) character. This Plugin update also allows you to override these character rules if you’re using an existing formatted store catalogue (e.g. ‘ – ‘ is fairly common for parent-child Category rules). You can use the multiple-assign rule on Categories, Tags, Images and as of the next minor Plugin update (1.9.8) due any day also File Downloads.
As always, download your Plugin update from Premium Plugin Updates or jump over to the Plugin detail page for more information.