The pinkie is connected to the ring finger by using the same ligament. That's why you can't bend one without the other following. A few may be able if they have a stretched ligament but most can't bend just the pinkie.
And yes, the pinkie is the hardest to train (own experience).
Ph'nglui mglw'nafh Cthulhu R'lyeh wgah'nagl fhtagn!