Parsing category/label info from RSS

I have a single RSS feed source, from which I can export a feed to a WordPress news aggregation site I intend to set up. I have been looking into using Feedzy as an option and I have a question on how to categorize the entries/items imported from a feed source.

I can customize the RSS output format and send certain categories/labels I have assigned to each entry, either as a comma-separated string in a tag (e.g., <categories>a, b, c</categories>) or I can send each as a separate category within its own <category> or <label> tag.

My question is if/how it is possible for Feedzy to parse that information, to create any previously-non-existent category within WordPress, and to associate the post it creates with those categories? (Note that an entry may include multiple categories, and I’d like any theme I choose to be able to filter the content based on that)

I have looked into the “In Feedzy how do I…” section of the documentation, but the closest thing to what I am describing was keyword filtering on the title. I’d like some entry-level information on whether my use case is possible with Feedzy at all. I’m even considering the pro plans available, but I’d like to be sure that Feedzy would indeed be applicable.