Not sure what happened with your set but the set I installed the other day had all the bolts, etc.. AC has come a long way recently in quality of fit, etc..
About drilling the holes in the foot pegs.... I have installed a few of these AC Racing Pro Peg Nerf Bars. Can tell you the bolt in each foot peg is easy to do AND does give added support and less play in the nerfs. You may not notice it the day of the install BUT in time you will. Only takes a moment to install the foot peg bolts and I recommend doing so.
Also, IF you opt not to go with the heal guards you really MUST in my opinion fashion support brackets for the rear fenders. You can buy pre-made brackets on say eBay or do as I did and cut the stock fender brackets. Takes two easy hack saw cuts on each bracket. To dress up the cut ends that show you might do as I did and epoxy to nice looking bolt heads in the holes and then paint those bolt ends. I opted not to repaint the whole bracket as the factory paint is more durable and the black bracket (stock) looks aok. Anyway, risky not supporting the back fenders. You will notice on the right inner rear fender that Kawasaki even placed reflective stick on metal shielding between the plastic fender and the muffler. Without rear fender supports you risk fender cracks, annoying flapping of the fenders along with fire/melt hazard when that fender makes contact with the muffler. Again 2 simple hacksaw cuts on each stock bracket, file down the edges, dress it like you want and a little paint and you have very nice looking brackets. IF you ever want stock brackets back you can weld the cuts back together or go to eBay where new brackets can be had for a few (very few) dollars. Bill in NY