Missiles typically operate in the atmosphere where the movable control surfaces can provide directional control. However, a control surface creates drag even when in a neutral position. Fins are only effective below about 100,000 feet.
A space rocket is only effective if it can transport cargo to orbit so anything that creates drag, without providing a substantial benefit, is eliminated. It takes a rocket only a few minutes to get to 100,000’ after which they would be pointless anyway.
As rockets get bigger and heavier it would take much larger control surfaces to provide directional control. Engine gimbals are much more effective and add little to no additional weight.
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