When making your own pegs with out a lathe the end result is an eight sided peg. It is not necessary to shave off the eight corners making it nearly round, that would be superfluous. So, I would say that the corners are not the goal. The goal is to fashion a working peg, any farther beneficial benefits are gravy. The eight corners, compared to turned round pegs, do not hold any negative side effects. The peg should be tapered as well to aid in draw boring.
A square peg in a round hole will cause undue force on the tenon. It could crack it.
