Hi,
It is a planned feature. The main thing holding it up is that we plan to first build a new category subsystem that can be used across different features not just in the blog, then we will replace the existing blog category implementation with the new subsystem and then we will implement better presentation of categories. We need categories in lots of other features like WebStore, Event Calendar Pro, Image Gallery etc and we don't want to implement it over and over so we have a plan for a common subsystem to be used for all features that need categories.
Best,
Joe