While Surface Pro 3 doesn't offer a truly integrated port for storing the Surface Pen, you do get a cute little pen holder called Pen Loop with a Type Cover. The only issue is what happens if your Pen Loop ever detaches. No problem: Microsoft will sell you a replacement in any of five different colors for just $5.
Because Microsoft preassembled Surface Pro 3 review units for reviewers at the launch event last month, I'm not entirely clear on how this accessory is initially delivered. My understanding is that you get it with a Type Cover purchase, and that the Loop would of course be colored to match the Type Cover, and that you would attach it yourself. (Ours were just attached at delivery, which is annoying.)
The appearance of a Pen Loop in the store is surprising but welcome. It's pretty clear this thing isn't permanent, though the one that came with my review unit has worked like a champ so far.
According to Microsoft, the Pen Loop is self-adhesive and designed to be stuck a Type Cover. I'm a bit curious if it would work with other materials, perhaps the Surface Pro 3 itself.