Keith - Yes, whether you backup and restore, or go to a new course and import, it does include the gradebook categories setup.
i don't know what back up setting controls this though. These are what I use:
(My guess is that it's not controlled by any of these but by the simple fact that you are importing/restoring at the course level versus importing at the activity level). I say this because did you ever notice how course groupings/groups also get transferred from once course to another even if you just import one activity (at the course level)?