Categories are not real folder nodes, I will try to explain ... when you browsing folders from taxonomy the documents are into these folders ( there's a parent property what points to the folder ). When You are browing from categories, really there's a link ( relation ) between the document and the folder, but really documents are not into the categories folders it another kind of relation.
From taxonomy are shown documents what are parents of these folders ( parent-child relation , it only can exists one parent-child relation )
From categories are shown documents what are linked with categories ( one or several categories might be linked with same document ). Browsing from webdav I think will only be shown folders, but not documents or any objects linked with these, that's because is not a parent-children relation ( from webdav are only shown objects within this relation type ). You will see categories folders because, these are parent-children relation, but not documents because it is another type.