That is correct, neither are documented in this manner, but I can verify by the code that is how they operate. These are also restricted templates that only the Team can modify since they affect hundreds of templates and many thousands of profiles.
I see nothing on the categorization help page that says categories cannot be used on space pages.
I'm sorry if I gave this impression, but this not what I meant at all so let me try and restate it:
"Project Boxes and Research Note Boxes were not intended to be used on space pages, so the categorization that those templates provide have been excluded from showing on any page other than a person profile."
In short, you can use [[Category:]] links on space pages all you want, I just mean the specific templates mentioned will just not add the categories automatically to space pages.