Great question, and I am not too sure if there is a 'definite' answer to this.
But I will give this a try. I took a look, and could not find any for sure answers, what I did find is this from the
RB FAQ:
Q. If I find a reference to a unit that is ‘pinned’,
does it mean a unit that has gone to ground?
A. Yes, ‘pinned’ is simply a short way of saying
‘gone to ground by failing a pinning test’.
and this snippet from the
RB pg.75 under "FEARLESS"
USR:
Fearless troops automatically pass all Morale and Pinning test they are required to take, and will never fall back. They can however go to ground voluntarily...
Noting that the unit was not Fearless when they were pinned and in the Orks turn (and still under the affects of 'pinned') the unit becomes Fearless.
My surmise is that the unit remains pinned. My reasoning is that fearless units according to the rule only auto pass Pinning tests, yet may choose to 'go to ground' and the
FAQ clearly points out the only difference between 'pinned' and 'go to ground' is one is voluntary and the other is forced. So, ergo, a fearless unit can be 'pinned' in its turn, but cannot be pinned while fearless. And since this unit was not fearless when is was pinned, it can remain pinned while fearless.
I hope this made sense. This is my 2 cents on this interesting topic.
Happy gaming!