There are a few possible causes for products not being shown first:

• Was the Pins checkbox checked in the sorting option settings?
  Double-check which sorting template is linked to the category and which sorting options are in the template.
• Are the pinned products still linked to this category?
  A product may still be in the feed, but not linked to the category that you used in Pins. 
• Is the product still in Tweakwise, or has it been temporarily out of stock or out of your product range?
  If the product is no longer in Tweakwise, it can't position this product and the product will be removed from Pins. It will not be visible in Visual Merchandising, even if the product is included in the next import.
  The product will need to be added to the Pins again.