Have a similar issue with this stuff. I have a few posts with custom post_format (post-format-video is default WordPress post format). So my exported .xml file created by default WordPress export tool contains valid <category> tags:
<category domain=”post_format” nicename=”post-format-video”><![CDATA[Video]]></category>
But on Import process with WP-CLI I see errors related to post_format:
Failed to import category Video<br />
On both sites themes support this custom post formats. My investigation shows up that this happens only if you do the import process with WP-CLI. I import this .xml file via /wp-admin/ page and all is great. I think this happens because WP-CLI not load a theme functions.php then wp import command running.
