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 This has been replaced by an integrated Categories-generator at import time within the Product importer.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.