Currently, Confluence pages will be exported into Salesforce without Categories set.
Have a popup menu, after clicking the Publish to Salesforce link, to let the Exporter choose the categories for each page.
Shared ServiceRocket
This is now available as part of publishing steps for individual pages. See https://docs.servicerocket.com/x/JZLwCg for more information.
Having Knowledge articles properly categorized is key to our user experience (our Help tool filters and organizes by category). Ideally, we want to manage those category assignments in the Confluence source, for hands-free maintenance (such as by mapping Label to Category). If not that, then configure them when setting up the export.