Here is a picture of a near mint Sea Lion. Notice how the key is the correct one with logo and is unused and shiny due to it never having been removed from the box.
This certainly appears to be the factory method of storing the key in the box to keep it from getting lost in shipping. I have never seen this before, as I am sure the first thing
the buyer would do would be to remove the key and wind the toy. When I bought this toy, it came with a loose key, also shiny and identical to the key still mounted to the box.
So I am guessing the buyer of this toy found a second loose key in the box and used it and never needed to remove the mounted key.