Something must have change from 2.9.2 to 3.04, was working before.
Anyway, in the time I was working on CJ-Datafeed, I didn't fully understand how to add categories to POST in a simple way.
I solve the problem within my new CJ-API plugin but didn't have time to correct it in CJ-Datafeed.
Cat processing in CJ-Datafeed :
1- I create the post and retrieve post ID.
2- After that I use "wp_create_category()" to retrieve a category ID. ( the function was returning a cat ID regardless if cat exist or not )
3- Add catID to postID
Cat processing in CJ-API :
1- Check if cat exist, if exist retrieve ID, if not create it
2- Create post object and put category array in it
3- Create post