I think I know exactly where you are coming from. The first time I synced up my Palm 5 years ago, everything from Outlook was now "unfiled" on the Palm. Here are the instructiions I have from back then that fixed the problem:
Launch “Chapura Settings.”
Click the “Settings” button.
Double-Click “Outlook Calendar” (for example).
In the Chapura dialog box that pops up, click “Categories/Folders.”
Select “Handheld category = Outlook’s ‘Categories’ field.”
At that point, I would sync again, but have "desktop overwrite handheld." (That way the things with categories would be copied to the handheld. Not sure what would happen if did a straight sync. You might wind up with 2 sets of tasks on both your handheld and Outlook--one with categories and one without. Just done know.
Hope this helps.