Hello,
it seems, that I have found a solution by myself. I experienced this problem because I have tagged some links in my blogroll not only with the tag “blogroll”, but also with some more category-tags.
As soon as I remove the tags from the blogroll-links the corresponding categories reappear and are again available for assigning to posts.
So it seems that the category-tags for posts and links must be completely separated. This is a litle bit confusing, because all defined categories show up in the link/blogroll-management as if they could be assigned to links without causing problems.
Maybe this behaviour can be fixed in a future version of WordPress?
Thanks, Hermann Josef