I don’t have direct experience with this, but from what I read…
Sticky posts don’t show up by default on category pages, so adding the categories may throw the query into an “I don’t care about sticky posts” mode.
You could try running a query first that just grabs the sticky posts, using arguments like this:
$sticky = get_option( 'sticky_posts' );
$args = array(
'post__in' => $sticky,
'ignore_sticky_posts' => 1
);
You may be able to include category__in there as well, to get only sticky posts from the categories you want. Again, I haven’t tried it, but it’s a good avenue of approach.
More information:
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