While importing Attributes (whether Constituent, Gift, Action, etc.), you are not able to create new Action Categories while in Importacular.  If the value in your data source that is linked to the Attribute Category does not match an existing Attribute Category for the type of Attribute you are importing, you will need to either use a Data Transformation to link the value to in your data source to an existing Attribute Category or you will need to create a new Attribute Category in the Raiser's Edge.