Why? Because metal is the standard, historically speaking. Some people prefer it for its durability and feel. Sometimes it's required for the build of certain models, that might have parts that might be too fragile in another material. Also, metal is cheaper to cast up than the plastic GW uses, until you get past a certain number of sales, which is why the wings can be plastic (since they're all the same model) and the bodies on most dragons are metal (since they're all different models), thus they sell several times the "wings" as the individual style of "body", making it financially viable to do in plastic.
Heh, yeah, we'd need to know what the problem is. But one thing I had issue with was only using one pin. For heavy items it only acts as a pivot point and the joint is quite weak. Until you use a second pin...then the joint is ten times stronger. Other common issues are not drilling holes the right size, the hole should be tight around the pin, and along the same lines, badly fitting components. If the pieces don't have a large flat mating surface to glue, you need to fill the gap or file both sides smooth or something since using a pin as what equates to a hinge isn't going to last. Glue I'd recommend is a rubberized super glue but a 2 part epoxy would also work, if you can hold it steady for however long it takes the epoxy to cure...regular super glue works well too, just a little more susceptible to torsion and vibration than the rubberized stuff, has less flex.