messages pinned by others are not shown in the "pinned" pop-up menu until you scroll through the space history and come across a pinned message.
Confirmed by Cisco this is a known design limitation:
-- For example, if there were a pinned message in this space from January, and a lot of messages since then, and I had a totally fresh install of the client or a new user added into the space, it wouldn't appear automatically - I'd have to scroll back up in the space, in order to load the message into memory, in order for the client to pin it.
-- Once you load the pinned messages once, then they'll remain in the client until the database gets rebuilt (which shouldn't happen in the normal course of events).
-- This is how the feature works, it's a known limitation/current design of pinned messages, unfortunately - the [end user] has to know about the message in order to pin it.