Now this is a new one! I've never seen an ATE/Bendix retainer pin come out in the nearly 30 years I've done this type of brakes. They usually rust in place pretty good.
However, anything is possible.
If they won't stay in, even with a new pin, I'd suspect the caliper bore is funny. Clean it out, make sure there isn't a bunch of corrosion in there, and try again.
You might also want to replace the anti-rattle spring -- if it is warped or bent, it may not apply any pressure to the pin, so there is nothing to hold it in place.
You can also try Locktite on the small end as well as the locking end, but I'm not sure it will withstand the heat from serious braking.
1972 220D ?? miles
1988 300E 200,012
1987 300D Turbo killed 9/25/07, 275,000 miles
1985 Volvo 740 GLE Turobodiesel 218,000
1972 280 SE 4.5 165, 000 - It runs!