When integrated into Magento, the WordPress code is not loaded. Instead, data is retrieved directly from the WordPress database and displayed via Magento models, blocks, controllers etc. This means that any plugin installed in WordPress that usually runs on the front end of your blog will be not loaded when displaying the blog on the frontend, which means that any shortcodes or widgets offered by this plugin will not work.
To get these plugins to work, an extra Magento extension is required to add support for it. As there are thousands of WordPress plugins, it is not possible for me to add support for all of them. I have therefore tried to add support to the more popular plugins as part of the free extension and the more difficult plugins, via add-on Magento WordPress extensions.
That being said, the Category Posts plugin for WordPress is supported by the extension and should work without any add-on extensions.
I recommend upgrading Magento WordPress Integration to the latest version, ensuring that you have the Twenty Twelve theme installed and you are using the correct Category Posts plugin for WordPress.