For me, weighting the pegs makes the bike respond quicker to inputs.
Instead of changing c of g, which physically is not possible by changing your attachment point, i think the benefit of weighting pegs has to do with removing your dead weight from the seat and allowing your own suspension (ankle, legs, hips) to take up some of the work of moving the bike. Decoupling your mass from the bikes mass to a small degree.
It is noticeable and dramatic for me, cornering with your butt planted in the seat and cornering weighting the pegs.