Life is too short to go the categories route.
Get Pocket Lookout 2.1.1 from
http://lookout.vonken.com/ for US$20.00 and sync any or all Outlook sub-folders.
Short of Microsoft making the syncing of Outlook sub-folders native to the Pocket PC OS, there is probably no route even theoretically better than Pocket Lookout. There sure isn't any better existng practical solution.