Strange Bug (or not) with Categories!

Hello team!

I’ve found one strange bug with categories.

I wanted that a particular video appeared in few categories.

For example this one in 3 categories – http://FunnyJapanesePranks.com/most-watched-youtube-video/lady-gaga-videos-lady-gaga-bad-romance-video-clip/

But I wanted that this video has a slug of particular category “Lady Gaga”, Inside admin I choose this category as a first one. But when i added few more categories, the “Lady Gaga” category’s slug always overridden by other categories, that were early created.
Can anything be done here?
Kind Regards,
Igor.