I just had a cast removed a few months ago. Casts and splints are made of hard, scratchy materials like plaster or fiberglass. Imagine the pain you'd be in if you had to spend 6-8 weeks with your skin rubbing on plaster all day and night. Also, plaster and fiberglass produce heat (an exothermic reaction) while they harden.. So until the cast sets, you could get a nasty burn if there wasn't an insulating layer between your skin and the cast. I'm guessing the heat is the reason why you shouldn't set the cast on a plastic pillow, although maybe the epoxy in fiberglass would stick to the pillow as well.