Hi @Paul B ,
If the messages were sent to your account, it's suggested to import the .pst file and upgrade color categories as RobertSparnaaij mentioned to check.
Besides, if the messages were sent to other accounts and you need to add the categories to your master category list, we may need to re-update them manually via right-click the message with your custom category>choose category>all category>choose your category>new>type the name and color> ok
In order to make it easier, we could try to switch to the category views(View>Category)
As I know, there may be no option that could directly merge the category from file to account, and the easier way is importing the file directly as you know. As for the problem of duplicate items, if they are same email items in your account and the .pst file, we could actually choose the "replace duplicates with items imported" option when we import the file to avoid it, based on my tests, it could replace the item with the same item that has categories normally.
Also, if you wouldn't like to import that items that don't have category, we could open the original data file, group the message by category, export the items that you need to import to a new .pst file, then import this new file.
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