I can confirm that this is the case. If an uncategorized topic is pinned, the topic’s category link is not displayed. I’m not sure what the reasoning behind this is.
The code checks for pinned uncategorized topics here: https://github.com/discourse/discourse/blob/master/app/assets/javascripts/discourse/app/templates/list/topic-list-item.hbr#L35.
Maybe the logic that sets isPinnedUncategorized could check to see if the suppress uncategorized badge site setting has been disabled. If the uncategorized badge is being displayed in non-pinned topics in the topic list, it would make sense to also display it for pinned topics.