A pen is assigned to a raster entity - meaning that the raster entity does have a value for the pen flag, just like every other entity. On a raster entity (image) the pen is meaningless. A raster image is simply a collection of dots (pixels) and the image that is printed depends on the color of each dot. Nothing about this can be changed by changing the pen flag unlike the other vector entities.
The pen flag on a raster entity does come into play if the raster entity is placed in pen 0. In this case, pen 0 means no plot - meaning your raster entity will not show up in plots.