because you have to take the pen off of the keyboard when you want to type. obviously it can't be there if the keyboard is lying flat, and even when propped up magnetically it doesn't work.
also because it increases the overall thickness of the device + pen. with the pen loop, the S3 lies flat either way.
that said, I do find this the most secure way of carrying the pen and have considered dumping my pen loops. not yet though...
Clipping the pen to the keyboard has not prevented me from typing.
I only remove the pen when I want to use it.
The only issue I could imagine is if you wanted to take the Surface somewhere without the keyboard and you wanted to still use the pen, you would need to have another place to put the pen.