How to assign mutliple categories or use the assigned feed categories ?

In the "Taxonomies" tab, we can treat feed categories as WordPress posts' categories. Then under this setting, we have the option "Assign posts to this category". If I use this option, it will assign all feed articles with this only category.

What I want is to publish posts by using the categories found inside the feed? Is it handled by the plugin? Should I let the "Assign posts to this category" to a value of "none" ?

Thanks for your help.

N.B: Is there any documentation about the plugin somewhere?