As a guest, I can only see the photo contest category. Can you confirm that you can see the other categories as you'd expect in the gallery (on the front end)?
As you appear to currently have debug mode enabled (generally not a good idea on production sites BTW), I can see that it's only pulling from one category. If you click the time on the debug mode info on the page showing the media widget, it'll show you all of the queries. Can you paste the first one that contains "xf_mg_media_item" in it?