When you pin an item with a rule, you have the option to copy the rule over to other indices:
If you do this with an index used for sorting, or select to copy the rule to all replicas then the rule will also apply when the sort is applied and the item will be pinned even when the index is sorted.
If you decide you do not want this to happen, you should not copy the rule over to all replicas or replicas used for sorting, and also make sure to delete any rules that have already been copied over to your replicas.