Maybe using the Default categories watching site setting instead of the settings of the TL0 group. Edit: not really 
For testing, I configured category1 to be watched by the TL0 group and added category2 to the site setting. Then I sent a personal message via email to create a staged user. In the preferences, that staged user was watching category1 but not category2.
So it seems to help with users not receiving emails before signing up.
So I continued my test with signing up as the staged user. But, unless I’ve missed something, your problem is that, surprisingly, even after registering, the default watching setting doesn’t take effect. That would be rather impractical for your use case.
I wonder if anyone can repro and if this is expected. I would expect the site setting to either apply also to staged users or apply when they sign up. Otherwise it’s not really a default, is it?
One way to work around this would be to briefly remove the category from the settings every now and then, and then, when adding it back, select the option to apply the change to existing users as well. In my test, this didn’t change anything for the staged user, but it did for the one who had just logged in. However, this also changes the preference for all users who had already manually removed the category because they were possibly annoyed by the notifications. I can’t say to what extent this is a problem in your forum.
Let’s hope someone else has a better idea 