I think (and equally could be entirely wrong here) but the difference is the temperatures between various metals. Putting too much heat into a steel, above curie temp, and you're into the hardening range where properties are changing rapidly. Once you have the properties you're after you rapidly cool it to lock those properties in. Putting just enough heat is providing energy for the molecules to start nicely aligning and increasing the malleability of the metal, which is annealing (I think of it sort of like 'untangling the threads' of the material so it's easy to bend). Again, when the required properties are obtained we can quench the material and 'set' those properties. As I said, I think this is the case for most metals but there's bound to be other properties to consider for different metals.