I'm seeing the same thing as well on my brand new SB (brand new in that it was replaced today at the MS store). I have what someone above said was the latest version of the Surface app, but it doesn't show the pen button options.
As I just did 2 major reinstalls of the System (the initial configuration out of the box ran into problems with updates not installing and then an odd freeze on startup so I reset it and installed everything again), I'd like to avoid having to do another install even from the media creation tool.
The Windows Update history shows that 1511 successfully installed as did the cumulative update for it (KB3144756) and the 2/17 hardware update. The installs were all clean on the first try after I reset it.
One thing I noticed that may have some relevance here - when I first noticed that the Surface app didn't have the options I went to the Store to update it and the Store was in the middle of downloading and installing updates for about a dozen store apps. In fact, it was already stalled with the Surface app update partially downloaded. So, when all of the other apps downloaded and updated and the Surface update was still stalled, I killed it so I could restart and try again, but the update stopped showing up at all. Now the Surface app no longer shows up in my list of installed apps in the Store and if I manually search for it, there is no Update option. This would make sense if the version I have (10.0.342.0) was not the latest, but above someone claimed that this was the latest. But then why was the Store even attempting to download an update if this is really the latest version?
Someone mentioned uninstalling it and installing it again. How do you uninstall a Store app? It doesn't show up in the Programs and Features control panel which is how I'm used to uninstalling applications.