You can create a csv file with listings assigned to categories that don't exist in the WordPress admin and Vantage will create them when you use the importing tool. You can also assign sub categories, but only if these sub categories already exist on the back end. Otherwise Vantage will treat them as parent categories (your subcats cannot have the same names either).
Outside of the built in tool, it may require either another plugin (which we don't have recommendations for), or perhaps importing via the mysql admin. Thanks.