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!
"The sky was the color of a TV tuned to a dead station" - Neuromancer