Yes, Categories do require the CMS as well.
You can turn off the warning about “you have ore than 10 content folders” by ticking the check-box “do not show this message again”.
Here’s how to migrate your DS3 content folder list and categories to DS4:
When you first run DS4 it should ask you if you want to “Import Mapped Folders” and if you want to “Migrate the Content Database”. You can access these options from the Content Library options menu if it doesn’t prompt you automatically.
It should also ask if you want to import metadata. If you want to put the default content in your own categories, uncheck them—then the default content will all appear in Default > Unassigned.
First “Import Mapped Folders”. If you then look at the Content Library tab you can click on “DAZ Studio Content Folders” or “Poser Content Folders” and see the folders as they are on disk, equivalent to the Folder view in DS3.
Then “Migrate the Content Database” to import the Content Database used in the Category view in DS3. After you do this, clicking on “Categories” in the Content Library tab in DS4 will give you the equivalent of the Category view in DS3, plus an extra top-level category “Default” for the DS4 content.
[Note: Migrating will skip items which have non-English characters, such as diacritical marks.]