Just had the same problem following an upgrade from 3.0.0 to 3.0.1.
Thanks for the update page:
http://themestown.com/wp-business-directory-manager/support-docs/specifying-which-wordpress-categories-wp-business-directory-should-use
I have now sussed out how to map the WordPress categories to the category IDs (courtesy of checking the URLs when editting the categories).
The submission page now works correctly:
http://bluekitecoach.com/dmj/?page_id=21
But the dashboard still complains that:
You have not set up your categories for Business Directory.
Am I still missing something or is the alert not getting cleared up correctly.