That peg that you talk about, should have a round rubber "donut" on it, which fits into the cup on the bottom of the air intake. Mine popped off when I changed my filter, and I had to root around in the belly pan, under the motor to find it. It is about the size of a golf ball. It is item #9 in the picture.
2010 328i xDrive, Jet Black, K&N filter, Euro headlight switch, Alarm/door lock beep kit, BMS, slotted rotors with ceramic pads, etc