Some of the Sebenzas are like that as well. I think the newer ones they made it so they are not like that but I am not sure. However on most older Sebenzas if you remove the lanyard the pin will fall out. If you don't like lanyards but want to keep that sexy little pin then try putting a short short length of paracord through the pin and burn both ends that stick through the pin and squish them flat. That way you will have a little something holding the pin in but you don't have to have the lanyard.
I actually worry about it sometimes because on my Small 21 it seems that the lanyard gets cut by the tip of the blade when the knife is closed. There isn't enough room in there so the lanyard has begun fraying by getting rubbed against the tip. I am worried one day the lanyard will fall out and I will lose my precious little blue pin.