I know this is a very old topic but I found I wanted to do exactly this and this topic is where Google led me.
I've worked out a very simple solution to this problem if anybody is interested. Here's how I approached it.
Create a new Category named "My Boards Categories" or what ever takes your fancy.
Edit each of your current categories and make this new category their parent category.
If you like you can now go through each of your forums in turn and set "List subforum in parent-forum's legend" to Yes.
That's all there is to it really. I hope that helps someone out there.