I don't remember if it was in the box with the pen or if it was separate. I didn't recognize it as a pen loop at first. It was just in a plastic wrapper.
It may have been mixed in with some of the papers and manuals.
The S3, type cover, and pen were all in their retail packaging, inside a Surface Pro shipping box. The outside of the pen packaging indicates it includes a black loop. The loop was found in a clear plastic bag under the pen tray.
Guess different people feel more comfortable doing one thing over the other depending on their habits. Since I don't use the pen on my SP3 very often, I leave it in the pen loop on the SP3 - works better in that use scenario than leaving it elsewhere.