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The pins are there to help align multi-level buildings or roofs, and do work quite well at this.
If you build something that has multiple vertical levels, these pins help you easily stack them in proper alignment.
In instances where they do not quite align, as noted in another post above, they are easily removed with some clippers… you could also just crop them in your slicer program.
some walls have pinned and non-pinned versions by the way.