Big Jeep is spot on - it's the same reason rolled threads are better than cut. Rolling on splines or threads is a sort of "mini-forging" process that gives a stronger surface, while anytime you cut bits out of a metal part, you create "stress risers" which are areas where stresses are intensified and where stress cracks will start (sort of like drilling/punching "lightening holes" in a sheet part - that's where it will break first.)
It's not really necessary to "cold form" the splines to get the extra strength, I seem to recall that the shaft will usually be heated to some degree to make the process a bit easier (forging is the precise application of both heat and pressure, just so you know.) However, the machine to do it is usually hydraulically powered, and the pressure used in several tens of tonnes per square inch (yes, tonnes - I'm referring to long tons here.)
Does anyone HERE have the equipment to roll splines? I'd really be surprised to find out we did. Go to an axle shop for that...
If you want a good entry-level engineering book, I recommend _Carroll Smith's Nuts, Bolts, Fasteners, and Plumbing_ by Carroll Smith. It's $20 well spent, and covers a lot of these little things for those with enquiring minds and a little spare time. It's written with the layman/mechanic in mind, and it's not so heavy on the advanced physics and engineering to be unreadable (and Smith has a dry wit that I find rather pleasant, to be honest...)
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