Note: for anyone looking for a quick fix (as I am), you can edit line #314 in wp-admin/includes/export.php from
<wp:category><wp:category_nicename><?php echo $c->slug; ?></wp:category_nicename><wp:category_parent><?php echo $c->parent ? $cats[$c->parent]->name : ''; ?></wp:category_parent><?php wxr_cat_name( $c ); ?><?php wxr_category_description( $c ); ?></wp:category>
TO
<wp:category><wp:category_nicename><?php echo $c->slug; ?></wp:category_nicename><wp:category_parent><?php echo $c->parent ? $cats[$c->parent]->slug : ''; ?></wp:category_parent><?php wxr_cat_name( $c ); ?><?php wxr_category_description( $c ); ?></wp:category>
Notice the change from “$cats[$c->parent]->name” to “$cats[$c->parent]->slug”