Actually, it's possible to double-pin (and even triple, quadruple, quintuple..) and avoid the lag. You just need to make sure that every next pinned object was created after the object it's pinned to.
So if you have Sprite2 pinned to Sprite1, and Sprite3 pinned to Sprite2, they will move without lagging as long as Sprite3 was created after Sprite2.
Seems like only the object creation order is important (not the instance UID or object name).
If you are pinning instances of the same object to each other, then I guess they need to be pinned in the same order you added them to the layout (by their UID).