They do on other models. However these being wood framed grilles the weight was too great for using anything less than very expensive magnets, so pegs were the better solution here, that and it keeps it true to the original L82 design.
Magnets are always nice, but these pegs are a nice snug and smooth fit, and like the other comment may have been needed for the heavier wood-framed grilles. Most grilles are simply fabric and a light plastic frame.
I agree, the price reflects the novelty value. that being said I just scored an 'open'box' set from Music Direct for $1539!! Currently on sale for about $1900, but keep an eye out for the open box deals. My open box pair look like brand new, possibly just a return.