I use to work in a pet store that sold feeder mice/rats. I am also a snake owner. And I also own pet mice and rats. I'm a mixed up freak, I know.
Here's my take on it...Bare with me as I get to my point..
I live in Florida. We have two types of small lizards living here. The green anole and the brown anole. The green anoles are naturally occurring here. Natural predators of small bugs. The longest they grow is about 6" and most of that is tail. Then the brown anole were introduced here from Cuba. They are bigger. Bulkier. Comparing the two to dogs....The green anole is a greyhound. The brown anole is a mastiff. The brown anoles eat bugs. But they also eat...green anoles. Now mind you, large adult green anoles will eat smaller baby green anoles, but its not often or part of their regular diet. More a last resort mixed with territory altercations. Brown anoles hunt green anoles. An adult brown anole can kill and eat an adult green anole. Its estimated in the next 50 years, green anoles may be a threatened or endangered species. Why am I going on about this when the thread is about mice....I am setting up my defense. lol
I catch brown anoles and feed them two my rat snakes. I have a corn snake and a yellow rat snake. They are both captive bred, but found naturally here in Florida. In Florida they eat mice, rats, moles, and anoles. So sometimes I catch brown anoles for two reasons. One, it helps the green anole population. Two, I'm sorry for anthropomorphizing my snakes too much, but they gotta be bored with the same meal all the time. If you had to eat chicken every day for the rest of your life, wouldn't it get to you? So I figured to simulate their natural diet, I'd catch a lizard now and then between mouse meals.
So I think the only "good" reason to feed a pinky to a hedgehog is for that same reason. Give them something different to taste now and then. I wouldn't do it often. It could be messy and gross. Its not for the squeamish. But I wouldn't do it "just because". More as stimuli for the hedgehog. I know the first time I put an anole in my snake tank, she studied it for a while before eating it. Now she eats them right away. She seems to enjoy them, so I do it as a treat...when I can catch the buggers, lol