Hello and thank you for contacting the Toolset support.
Just like custom post types, custom taxonomies need to be defined by Toolset Types. In the article that you have shared, the first section "Converting custom post types and taxonomy" explains how to migrate both custom post types and custom taxonomies.
If I did not understand your request or I am missing something, please elaborate more and we'll find out how to help.
Thank you for your help. After seeing your reply I realized I must be missing something in the converting custom types article. It was actually a link to this documentation page that appeared by your reply that helped me figure out what I was missing. https://toolset.com/course-lesson/creating-a-custom-taxonomy/
I am new to Toolset, so maybe others will not be confused like I was, but I would recommend adding a little more information to the documentation on this page.
Steps for Importing Custom Taxonomy
Go to the Toolset → Dashboard page and click the Add custom taxonomy button in the row of the post type you want to add a custom taxonomy to.
Enter the plural and singular name for your taxonomy. Slug has to exactly match the custom taxonomy you are importing.
Click the Save Taxonomy button.
This ticket is now closed. If you're a WPML client and need related help, please open a new support ticket.