This is the correct behavior.
A topic pinned globally will appears at the top of the topics list (aka /latest page).
On the /categories page it will appear at the top of its own category but will not appear in the other categories.
Each category will have its own pinned topics (per category) visible.
There is no point in putting a global pinned topic at the top of each category’s topics. The result would be to have the same duplicate topic visible in the /categories page for each category.
Use the Make Banner Topic function instead of Pin Topic Globally. Or even the Versatile Banner component.