It’s going to be a grouping problem. The reason is a bit complicated, but it roots in the fact that wordpress does not allow getting taxonomy term names based only on term IDs without the taxonomy name.
Product categories are actually not the same categories as post categories and the search plugin is not able to get their names in the grouping stage (because the taxonomy is not known at that point). Therefore they are skipped.
I’m actually working on a solution that might get around this problem, but I’m not sure if it’s doable yet. In your case the solution is to use grouping by post type (Advanced Options panel) or not use grouping at all.Best,
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