Pinning gets recommended mostly for keeping a brand name in slot one or a compliance line in place. Google's own docs warn that pinning limits how the system can combine assets, and people argue about whether it hurts performance. I think pinning one or two headlines where the wording really can't change makes sense. Pin all three headline slots and you've basically got a manual ad with far fewer combinations to test.
How much that costs depends on volume. A small account rarely gathers enough data to find the good combinations anyway, so the loss is mostly theoretical. A high-volume account gives up real testing, so I'd pin only what has to be there and let the rest rotate. Has anyone compared performance before and after removing a pin?