Because space rockets are powered until they are out of the atmosphere, and use other methods for controlling their attitude such as thrust vectoring, reaction control thrusters, and gyros. Fins won’t do you any good in the vacuum of space.
Missiles, on the other hand, stay in the atmosphere for the duration of their flight and (with the exception of cruise missiles) burn themselves out within a few seconds of launch. They are required to steer themselves to their target *without* the benefit of those other methods a space rocket uses.
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