When you replaced one, did you replace it with one that "looks" like the old one?
I am wondering if someone upgraded your front calipers and you are going to the parts department asking for the original part when you should actually be requesting a different one.
In other words you have the wrong pins. The other possibility of course is the holes in your calipers have been enlarged for some wild reason.
I am with Peter on this one, never have I seen these pins come out on their own. Are you sure they are installed flush with the caliper surface? I often use an end of a rachet extension and tap them into place. I then use my finger to confirm the head's flush fit.
'03 E320 Wagon-Sold
'95 E320 Wagon-Went to Ex
'93 190E 2.6-Wrecked
'91 300E-Went to Ex
'65 911 Coupe (#302580)