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Spinnakers are used quite differently than the other sails, often set and doused more often, and need to be quickly disconnected and reconnected a number of times in any given race. Sheets/guys are connected with snapshackles for similar reasons, and also sometimes the cleanest way to douse a spinnaker is to pop the shackle on the guy, bring the sail in without a flailing guy (or the drag through the pole end), and retrieve it (the guy) later. This would not be practical using a tied-on line. Key pin shackles are slower, often difficult to use, esp when bouncing around on a foredeck so are best left to mainsails.
Mainsails are key pinned, as you say, but they generally have the halyards attached the entire race. Headsails most often use snapshackles, esp with multiple halyards and foils because they, too, get changed often and unused halyards are stowed and reconnected as required.
However, on more recent sport boats and one designs where the spinnaker can go in and out of the same bag (often in the companionway) without being disconnected and repacked, the spinnaker is often tied on because under normal circumstances the sheets/guys and even the halyard stay attached throughout the race. Tying them on does reduce weight and cost, of course.
1984 Fast/Nicholson 345 "FastForward"
".. there is much you could do at sea with common sense.. and very little you could do without it.."
Capt G E Ericson (from "The Cruel Sea" by Nicholas Monsarrat)