I’ve been seeing this happen to every blog I’ve upgraded that was a version prior to 2.3 (I don’t know if it effects 2.3 or not, I haven’t done any 2.3 -> 2.6 upgrades yet.) So far I can confirm that this bug impacts upgrades from 2.1.* and 2.2.* going to 2.6 directly. Whatever is causing this it wasn’t in the 2.5 upgrade code as upgrading to 2.5, then to 2.6 keeps the category information intact.
Just to confirm for those running into this: it’s safe to go from 2.1.* and 2.2.* to 2.5, then to upgrade from 2.5 to 2.6.
I do wish I could find a bug listed about this, I’m not sure the devs realize this bug exists yet or not. ??