I'm not able to reproduce the problem with 2 blogs. As long as both are on different pages it should work and does work for me. I'm able to add categories in both. When setting them up the correct blog page url must be configured for each though the service url will be the same for both. We determine the module id as the first blog instance on the page that the user has edit permissions on. So we can't support multiple blogs on one page just as we can only edit one html instance on a cms page with WLW.
I am able to reproduce the issue when pulling down an existing post it does not load the categories for the post in the WLW UI but I have stepped through the code and logged output and verified that we are indeed sending categories down in the correct xml format both with the list of recent posts and when the specific post is requested so it seems like an issue with WLW itself.
Best,
Joe