What is a "split peg" in a header
The split peg is a plastic pin that pushes into a hole on the PCB to provide mechanical strength - also known as a snap pin.
From the technical drawing of those connectors, we see this diagram which shows how the peg looks:

We can confirm that this is what is meant by the split peg, partly because it looks like a peg that is split, but also because that drawing indicates the same part numbers differentiating between w/ PCB Snap and w/o PCB snap in the same way the other document says w/ Split Peg and w/o Split Peg.