Shopify allows you to set up manual and automated collections.
Automated collections are applied to your listings automatically based on various criteria like tags, because of this you can't choose to apply these to listings manually and so we don't import automated collections.
If you want your categories to import you can change the collections and make them manual and then you select specifically which categories to apply onto which listing but it will change the behaviour of your collections and they will no longer automatically apply. We don't need to have your categories so it's not mandatory to do this.
Shopify has a bit of information about automated collections here.