Ha, I didn't even know BRIO had a construction set. We have the BRIO train and lots of LEGO here, but that somehow never crossed my radar. Now I kind of have to get one :)

For a bigger pegboard, I'd almost certainly go the plywood route, ideally with access to a CNC drill or a laser cutter through some community workshop. The hole precision mattered more than I expected, and getting a whole board right with a handheld drill was surprisingly tedious.