Yeah, I've got that problem too. I think what's going on is the hole is a little too big for the peg, thus letting it sag. At least that was my theory. The metal peg isn't going anywhere. And if you look at the underside, the hole is pretty well supported, so I don't think it's distorting.
Actually, now that a take a closer look, I htihk the problem is the peg isn't long enough, and therefore doesn't give enough support. The figure's weight tries to uproot it.
Which kinda sucks.
I'm not sure how to fix it, without either super-gluing it or replacing the ped with something longer, like a nail.
Anyway, your not alone.