I assume by 'pin' you mean the following part:
This part is called the 'insert' or 'connecting insert' and its purpose is to 'support' the (non rigid) brake hose in order to prevent it from crushing/reducing drastically in diameter when the sleeve nut is tightened causing the olive to be compressed onto the brake hose.
In other words: When tightening the sleeve nut the olive will be compressed and its inner diameter will decrease slightly (eventually causing the olive to seal against the outside of the brake hose). The insert serves the purpose of supporting the brake hose in order to get a better seal (more pressure in between olive and brake hose which in turn results in the olive/outer surface of brake hose to get a better seal relative to each other).
Brake hose inserts are not unique to Magura by the way, I believe (almost) all bicycle hydraulic brakes use a similar insert when working with a sleeve nut tightening system. Designs may vary between manufacturers however, so use the type specified by the manufacturer of your brake.
I would highly recommend istalling the insert to be sure that you get the best seal possible/your brake won't leak. Sometimes you can reuse the insert (if you manage to get it out of the brake hose), you can burn/melt the brake hose away if it's really difficult to get off in other ways, a new olive would definitely be recommended over re-using an old one to prevent possible leaking of brake fluid.
A similar insert is used for plastic central heating pipes in order to prevent them from 'collapsing' when press-fitting the fittings onto the pipe.
This video shows you how to install the insert/'pin' :
( watch from 2:39 )