Why do some pins detach from the alarm completely while others don't?
The basic idea is that in case of an attack, you can pull the pin then throw it so that your attacker will try go get it to shut it off. However since the alarm can only be turned off by plugging back the pin, and since you have the pin, your attacker will not be aware that it needs a pin and will not be able to turn it off. Also while he tries (if he does) to go and pick it up to turn it off, it might give you a chance to run away.
The purpose of the alarm is to create, panick and confusion in your attacker, giving you valuable time to escape and attract attention!
Some people however prefer the pin not to detach so that they dont lose it or so that the alarm does not turn on at awkward times. Depending on the purpose of your purchase, either of these constructions will do the ultimate job of deterring and giving you valuable time to escape or call attention.