I use a real roof with shingles's for the coop and then for a run I use heavy gauged wire mesh (the snow falls right through and it'll never rust). Yes it can hurt them if they fly up and hit the top but I have yet to have a problem with them getting injured from hitting the wire.
Agreed you will need a top peafowl can fly not flutter like chickens fly, honestly I don't prefere netting as here in Michigan netting doesn't last long with 3-4 feet of snow and -30F weather. But WV netting might work well. Never clip peafowl wings, they love to roost and will try to roost...