It will stop the rear handbrake from working properly. That peg locates in a recess in the face of the caliper piston, and stops it rotating. Whilst I don't fully understand how the mechanism works, it is essential the piston cannot rotate. I recently bought some Bendix pads which were allegedly for my 2015 car, but they didn't have that peg. Neither did a set of Brembo pads which were pulled off the shelf to check.
A set of Pagid pads did have this peg, but in the end I splashed out on the genuine article.
Needless to say, when fitting the pads the piston has to be wound back so that the recesses are at the top and bottom, to line up with the peg.