I was tinkering with my PC yesterday and now I'm wondering about these things. Not that it really matters to me, I'm just curious.
After quite a bit of search i found this paragraph in a document called PCI Express™ Card Electromechanical Specification Revision 1.1 :
As shown in Figure 5-1, a ridge feature is defined on the top of the connector housing on one side. This feature can be used to facilitate card retention. A retention clip may be mounted on 15 an add-in card and latched on the ridge.
As seen here
And shown here (from version 1.0 of the spec)
Also found the following pattent http://www.google.com/patents/US7850475
Some slots have them, others don't.
As far as I know the only reason for them is to slightly weaken the mechanical stiffness of the plastic.
Is someone knows of another reason I'm very interested to hear it too.