Hi, Nicolas.
I believe those categories might get interpreted and created when imported via iCal/ICS format, but I’m not certain.
I’d suggest trying it out. Try a One-Time Import, input the URL, and click Preview.
Then, check the box for just 1 or 2 events you know have categories and import just that 1 or 2 and see how it works out.
If it goes well, feel free to continue importing all of them. If it doesn’t import categories, I believe you’re requesting the same thing as one of our existing feature requests: https://tribe.uservoice.com/forums/195723-feature-ideas/suggestions/17040562-event-aggregator-categories-tags
Please do add your vote there.
This allows us to gauge interest in this particular feature request, which helps us prioritize our development efforts.
Thank you.