Specifically, I ask about the Molex 36638 series header, but I guess that it is a more common term.
I searched Images for a peg, for a split peg etc. but I still have no idea what it is about. There is no further explanation in the respective datasheet https://www.molex.com/pdm_docs/ps/PS-36638-001-001.pdf.
Best Answer
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.