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.
HTH,
emkay