When you import your categories, some lose their parent and become root categories.
The problem is that the parent is not set if the parent category has not been imported yet. This may be hard to fix, you would have to import leaf-first and work your way up the category tree.

A simple workaround is to do two passes: First import all categories, then set all parents.
This can be also done manually, and that's a workaround for the bug that works right now:
1) Import the categories
2) Import a second time, check "Update" under OPTIONS.

This issue also affects referenced articles - the references are lost if the referenced article is imported after the article that has the references.