Why are product categories not imported from Amazon?
When importing products from Amazon, WP-Lister for Amazon processes your inventory report and fetches additional information via the MWS API.
Unfortunately the actual product category is neither included in a merchant report nor in the result returned via the API, which is why WP-Lister for Amazon can not create product categories in WooCommerce - nor assign product categories to imported products.
The only category available in the merchant listings report is the top level category - like "Clothing" or "Sports". This information will be processed by a future version of WP-Lister for Amazon but we have no plans of duplicating the entire Amazon category hierarchy as product categories WooCommerce.