This is a long-standing bug in that if you pin an object to a paragraph and that paragraph moves to another column, because you want to keep the paragraph together for example, the pinned object doesn't move with the paragraph.
Please see below:
keeppara.mov
I think this is a bug, unless someone finds a way to enable pinned pictures move to the next column with the text it was pinned to.
Attached is a short screen recording demonstrating the problem and the file used in the recording.
Move picts with para.afpub
pinning.mov