I disagree with the assertion that "the only source of value difference between coins in the two networks is the friction related to the technical operation of the peg".
One could make the argument that another important source of value difference is the degree to which people are willing to hold either currency.
They aren't separate currencies. If you have 100 BTC in a sidechain and would prefer to have BTC in the parent chain, you simply move it. No third party or exchange is involved, only the fees and delays associated with making a transaction.
If I created a peg while the Ethereum price was high, pegging BTC to Ethereum at the pre-DAO rate,
This doesn't make any sense at all: you cannot 2wp ethereum to BTC: they are separate currencies; with their own issuance and supply. Trade between them requires counterparties and cannot be guaranteed to be available at any particular exchange rate.