Well that's what is confusing to me. You aren't the first person who has said this. The TSA regs don't specify a location for the tag but if you think about the process a bag goes through after it leaves the check in area you'd wonder why they put the tag in with the firearm, I've had my bag come back with a TSA tag inside that says it was searched again by TSA a second time. If they open your luggage and see the locked pistol case with no tag visible, how do they know it was checked by TSA or the airline? That could be grounds to not put your bag on the plane or they have to contact you which could delay you or the plane. I'm certainly not saying it doesn't happen that way as you described, I just don't see the logic behind it. The airline folks are almost as clueless as TSA.
IMO opinion the only rule that TSA has and is uniformly enforced is that "we don't have uniform procedures"
Govt inefficiency and incompetence at it's best. There was an article in the Washington Post yesterday saying many airports are considering booting TSA and hiring private contractors like SFO does.
Can't happen soon enough for me. TSA is security theater and Nepolitano is an incompetent moron.