Keeping a pipe Lit is just an idea most people think your suppose to be achieving.
Having a hard time first trying to light tobacco that is possibly a little too moist is one thing, worrying about keeping a pipe lit is another.
The latter is just a personal preference.
Also, depending on the complexity of the blend, always lit, to much heat, and constantly smoking can kill off the subtle nuances in some blends.
So depending again, on personal preferences and the blend complexity, barely lighting a blend, and only taking a few small puffs, then letting the pipe go out, is the best way to experience some blends.