If the set screws held, why not? Is it not done due to weakening the small end of the rod? Or just harder to install in a production environment? Or just prone to fall out? (Perhaps some expansion problem waiting to happen?)
Not trying to be obnoxious at all... but grooving piston pin bores is not free or doable in a home shop, and if the grooves are done wrong, the lock rings are liable to come loose.