In the new integrations 2.0 I can't find a way to set the Iteration Path. While I very much appreciate the new functionality in 2.0 that was a very convenient mapping in order to create work items in a specific Iteration Path.
It is now possible to map iteration path when mapping fields for TFS and VSTS. On the mapping step, click Field mappings -> Add field and select Iteration path. You can then map it to the preferred Aha! field or custom field.