I like the idea of having colored bullet-styled categories mentions in posts and I also wholly share your feeling here:
Subcategories may be “sub”, but they are categories by design, and in regard of this, I suppose they should inherit the mentions design of the main categories. 
Like @hellekin, I wouldn’t like them styled as if they were different things than categories like prepended by a 
icon.
Two-color icons could work very well after all (and they could very easily be hidden with CSS for people who don’t like it - the opposite would be more complicated).
Two-color bullets have been used outsides posts for years without any complaint to my knowledge.
My only concern would be that a two-color bubble icon for chat mentions may seem weird at first, but this feeling has no real-life basis right now, especially when I think about the already widely used two-color bullets. 