I think it would be nice if this was clearly stated in the documentation. When I raised this to the developer I was told that I should have known this would have been the case if I had used logic.
It looks like you are not familiar with Joomla! otherwise you should know that every component use its own menu item in order to be able to display its content. See here http://docs.joomla.org/Extension_types_(general_definitions)#Components: "Components are the major portion of your page because a component is driven by a menu item and every menu item runs a component."
Also you completely misunderstood the main purpose of the Multicategories Component. Since our extension is aimed to replace standard categorization system of Joomla! wich includes sections and categories. So it was not intended to support sections or deal with them in any way