Hard to clip into your Peloton pedals? Using the red cleats with the rectangular rubber piece?
Clipping into your pedals can be a challenge. Sometimes it is not you but the cleat, shoe, or pedal. If you have smaller feet this is more common on the Peloton bike or any bike with Look Delta pedals.
It is not a defective cleat. It is most likely your shoes. But there may be something to do to the cleat to help.