When I am scanning my website with the software I see that tag/keyword and category/keyword should be included into the sitemap. Do I really need to put these locations into the sitemap for google? Any benefit to this? Or these locations should be no follow as a rule?
Depends on you. If you want them to get indexed you can add them in your sitemap else not. Many people prefer not getting tags indexed. However doing so can increase your total overall indexed pages.