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Ok. It looks I found something. Basically is created the portfolio items in the following way:
1. imported a set of regular posts from another site (with their respective post categories);
2. Converted them to portfolio posts using a converter plugin;
3. Assigned them to their new portfolio category.

It happens that when using the portfolio shortcode, the “old” post categories are rendered in color links (like normal posts). I guess that this does not suppose to happen because if I create a new portfolio item from scratch, the portfolio category is not displayed on the screen.
I guess that this topic can end here, although some comments would be appreciated.
J