I do remember some limitation with the CSV import. This might be one.
It's been a long time since I wrote that code, but I think the problem is that the category must exist as a record for the parented can be linked. You could try and do multiple imports to get the category structure you need.
It's been a long time since I wrote that code, but I think the problem is that the category must exist as a record for the parented can be linked. You could try and do multiple imports to get the category structure you need.