I belive you exporting custom content right? If yes, you will fail to import any taxonomy (tag or category or whatever)…
in your export file not exists wp:terms items which is responsible for terms import. bug? perhaps.
what you can do without big or small code changes (i did reasearch this particular tsk) you can export full blog. copy that you want to see in other blog. paste it to same place of custom post type export file and import it again…
at least this will help you to import all terms of assigned category.