First can anyone tell me why when you rent a car they put both keys on a locked ring you can't open. Is this incase you lose a key?

Now my story. Last night I leave Bellagio valet about midnight. I get in my car and drive home. When I get in my driveway and remove the keys I notice this black box hanging off one of the keys. I call Bellagio and speak to a valet supervisor who told me it's a key lock so nobody can take the car. Well I explain I did. He told me how if I can just come back it will take a few seconds to remove. I explained how it will take me almost an hour round trip and thier employees negligence is now and inconvince and maybe ILL come around lunch time and they can buy. He explained how that was out of his power.

Called another supervisor in the morning and asked what time I can expect someone at my house to remove this key lock. He told me they are not allowed to leave the premises. I told him how I will return the rental with the box attached and when I get charged for it's removal I will forward the bill. He said thats fine and the rental companies bring these things in all the time for removal.
In all my years this is the first time I have seen this. Anyone else? I ended up removing the thing myself with a 5/16 socket driver. Barry