I had this same issue. What I did was first go to the plugin’s options for sutoblog, delete the feeds I wanted to import and then save that info.
Then de-activate wp-autoblog from plugins.
Then go to your PHPMyAdmin, select wp-categories
Click Browse.
At the bottom of the list of categories, click CHECK ALL but then be sure to uncheck any categories you want to keep.
Click the delete X at the bottom of the list of categories.
For 5000 categories, you’ll need to do this many times since PHPMyAdmin appears to fail if you do more than 40 at once. (At least mine does.)
After that – I wouldn’t re-activate the wp-autoblog plugin, because for some reason, if you are using autometa plugf-in or Ultimate Tag Warrior in the WordPress you are trying to import the feeds from, wp-autoblog simply turns the tags into categories on the blog you have installed wp-autoblogs on.
When you do have wp-autoblogs turned on, it has a built in cron plug-in that goes back out to the site’s feed you were trying to capture and grabs the feeds you had orignally submited in the wp-autoblog configuration which is probably why it re-populated all of the categories you didn’t want.
The author hasn’t provided a fix for this issue of tags being converted to categories so I’d stay away from wp-autoblog till he does, though it is doubtful he will fix it, since the wp-autoblog plug-in is a spammers heaven plug-in.