Outlook's default is "none" for categories, which translates as Palm's "unfiled."
You can assign a category when you create the task. You can edit Outlook's Master Category list to include your GTD categories, to make it easier to match Outlook to Palm. Of course, you can have many more Outlook categories than Palm, but as long as the same ones are available in each, you should be able to match them up.
I think I know exactly where you are coming from. The first time I synced up my Palm 5 years ago, everything from Outlook was now "unfiled" on the Palm. Here are the instructiions I have from back then that fixed the problem:
Launch “Chapura Settings.”
Click the “Settings” button.
Double-Click “Outlook Calendar” (for example).
In the Chapura dialog box that pops up, click “Categories/Folders.”
Select “Handheld category = Outlook’s ‘Categories’ field.”
At that point, I would sync again, but have "desktop overwrite handheld." (That way the things with categories would be copied to the handheld. Not sure what would happen if did a straight sync. You might wind up with 2 sets of tasks on both your handheld and Outlook--one with categories and one without. Just done know.