Don’t know if you’re still looking for a solution, but this works for me (on woocommerce 1.6.6 at least)
add this to your functions.php
add_filter('woocommerce_product_categories_widget_args', 'woocommerce_show_empty_categories');
function woocommerce_show_empty_categories($cat_args){
$cat_args['hide_empty']=0;
return $cat_args;
}