I was experiencing this problem with WP 2.2.3 and WP-Sticky 1.00, and here is the cause I found. Around line 98 in wp-sticky.php you’ll see this:
$content = "($wpdb->sticky.sticky_status = 2 AND $wpdb->sticky.sticky_status IS NOT NULL) DESC, DATE_FORMAT($wpdb->posts.post_date,'%Y-%m-%d') DESC, ($wpdb->sticky.s\ticky_status = 1 AND $wpdb->sticky.sticky_status IS NULL) DESC, DATE_FORMAT($wpdb->posts.post_date,'%T') DESC";
This seems to be placing all Announcements at the top no matter what, but ony placing Sticky posts at the top of any given day. This would mean that to make a post REALLY sticky (i.e. always at the top no matter what), you’d have to make it an Announcement. I’m guessing this is intentional, but it also seems undocumented.