I can't say I have any idea what the designers of PCIe were thinking. 6-pin and 8-pin versions of the power connector, but both with 3 +12V lines and only the number of grounds differing??? Wouldn't it have been less confusing to just have used clones of the CPU power cables (and can anyone tell me why the PCI Express power cables have the grounds on the clip side, when the CPU power cables have the +12V wires on the clip side)???
Based on my calculations, even 22AWG wiring would be good enough for a single 6-pin PCIe power connector - which speaks for itself, really, about how conservatively that version is rated (just over 2A per pin). Don't ask me why the 8-pin version has officially double the rating, despite having the same theoretical handling.
Here's a useful reference regarding the PC power connectors.