I believe it's more to do with transferring the weight to the peg going hand in hand with you transferring more body weight and counter-steering more too.
Weighting the peg alone will do a big fat nothing, as various tests (Keith Code adapted a bike to prove that peg weighting alone did nothing) but it's hard to weight the peg and not also transfer you're weight and counter steer more effectively. I push down on the pegs and it does work, but it's not the weighting of the peg itself that does it. Try it and be conscious of your body weight and counter steering - you'll find they're bigger when you weight the peg.
Ron Haslam said in Bike magazine a couple of months back that weighting the pegs helps push the bike down into the road.
Not a physics major, eh Ron?