The thermocouple is a joint between two dissimilar metals. This creates a very slight electric potential difference between the metals at the joint. The electric potential changes with temperature, and the pyro amplifies the changes to produce an EGT reading. The leads are mechanically fastened so that the joint between the wires joins the two same materials together. If you soldered the wires, the solder would introduce a different metal into the joint, thus creating another "thermocouple" in series with the first. The pyro is sensitive enough that the solder joint would cause inaccurate readings, which is why the thermocouple leads should not be modified at all or soldered. Even using the wrong bolt to join the wires together would throw the EGT readings off.