I am not sure how to address this. If a category is set in the slider, then any category in which that is posted is not available in the Category pull down section even though it numerically indicated there are posts. Hopefully this will help:
Slider is set to show anything in the category Features. Those Features are also part of other Categories. In the Category widget Features lists 3 and each is also indicated in another Category. When you go to the category itself it is empty. If you choose to see the Feature Category there is nothing listed. Does this make sense? Would links help?
Ah but if you are using the Features post type, then these are only available for the slider or anything else we create in the future to use features.
But they use the same category structure as posts. The number of posts in category is useful in the widget to help set things up, but as you say it actually includes a count of all post types, not just actual posts.