If you're to make a connection between pedal-ity (insert more appropriate word) and p-value threshold, then it would only make sense that hexapedals would look for a p value of 0.15 since we bipedal humans look for 0.05.
A threshold of 0.15 for statistical significance would lead to many more drugs being approved, so this would have been a valid answer to the brain teaser.
A more likely designation by the insect society would be 0.015 or 0.03. However, it would rather quickly become apparent that these threshold values were unduly restrictive; changing to 0.06 would be the obvious fix.
“The efficient-market hypothesis may be the foremost piece of B.S. ever promulgated in any area of human knowledge!”