Make product categories sidebar widget just a feature of the store page, not a widget.
In order to have Product Categories sidebar widget show on the shop/store page, and ONLY on that page, you must instead hide on ALL other pages (if you have 25 pages, you need to hide on those 25 pages).
In my opinion the product categories sidebar widget shouldn't even be a widget. It should be a feature of the shop/store page and be displayed or hidden via a checkbox in the customizer under WooCommerce > Product Categories Display.
This makes the most sense since product categories, shown as the product categories sidebar widget does, should only be displayed on shop/store pages in the first place. And this would solve the widget issue shown above as well.
Even the much smaller Zibbet gets that right - list of product categories show on store page(s) and not on any other pages, right out of the box.