Make sure the categories actually exist in Woocommerce that you are trying to map. I would unmap it and make sure that there are no differences (capitalization, grammar, spaces, etc) with the actually categories that are there meaning the drop down selection it gives you when you are not mapping and the ones you are trying to map.
If those categories do not exist you need to create them first. This doesn’t look like it will create categories only maps ones that exist.