I don't have a spare wheel and my experience is that the key came in a bright orange canvas bag.
Every service I've ever had required the brakes to be checked and therefore the wheels to come off. Just my experience.
Well I'm happy to report that (somewhat against the run of play) the dealer has agreed to provide a new set of locking wheel nuts / key FOC. Thanks all for your input.
Got me thinking there, don't remember seeing mine, but found it under the boot floor in with the Tyre inflator and gunk as I also don't have a spare wheel.