I encountered this same question.
I suspected that this was not supported and I think my suspicions have been confirmed.
Upon looking at the database schema it appears that the category entities also contains the hierarchy. If you look at the table in question the [entity_id] is the identity, but if you look closer there is a [parent_id] column that sets the hierarchy and more importantly limits any category to exist under one and only 1 parent category.
I’m sure this was done for simplicity so strange circular references wouldn’t be possible, but it sure is a drag given my client wants to use multiple sub categories in different parent categories. I think the only way we can do this is to duplicate the sub categories...yuck.
Click thumbnail to see full-size image