Unfortunately, the way that WordPress core handles sticky posts is very, very specific and there isn't an easy way for me me to work around it. The quick answer is yes, adding a tax & term to any WordPress query will ignore the sticky post functionality for that query. This applies to FPW and even writing your own WP_Query directly.
The way I've worked around this on several projects is to setup two FPW's one right after the other. In the first widget, I've used a simple tag called "sticky" or even created a separate taxonomy & term specifically for this and also set the number of posts to display to 1. This in effect is your "sticky" post. In the second widget, I don't set a widget title so the listing look like it is still part of the previous widget (this may require some minor styling work as well - depending on your theme) and then gotten the regular post results as if they were a continuation of the previous widget, but not including the "sticky" post. Hopefully that makes sense. I realize the explanation is a little difficult.
As for the Post Formats issue, you're correct. I am missing a "Standard" option. (It's a technical issue with the way the "Standard" post format works in core.) I'll get that fixed in the next release of the plugin. Thanks for bringing that to my attention.