Why sqlite complains to this code?
SQLite doesn't allow you to insert multiple rows with the values clause.
Try a union all select instead:
INSERT INTO Categories (CategoryId, Name, UrlName, CategoryIndex) select 'b2cc232c-0d5c-4f35-bb6f-29c67d7d40c2', 'Using Forums', 'usingforums', 0union all select 'ad9b355d-77bf-4a30-b3fe-7d562df2899f', '.NET Development', 'netdevelopment', 1....
SQLite doesn't support the multi-values insert syntax - that's a MySQL extension to SQL syntax. You'll have to rewrite this as one-query-per-value-set, so 7 different queries.
Because your SQL is not valid. You can only insert a single tuple of values in each INSERT statement.