Mine is attached directly to the battery,and the pigtail that came with the HD battery tender attaches the same way.
The pigtail that came with my bike is the same as the HD tender I bought.

 

sleepneagle, that's a good idea about routing the pigtail through the split in the seat.
I'm going to hook my pigtail up this weekend and try this.

 

My '05 came with one. Mine comes out through the hole just behind the starter.
If your going to install it yourself make sure the terminals are connected correctly. My positive terminal(battery) is connected so the female terminal(Tender side) is protected by the connector housing. The male terminal is the ground. This way if the connector happens to touch a ground it's not the hot leg.
The pos. terminal has a red marker and the fuse.

 

Tech2...... it connects directly to the battery. Mine exits through the hole just above the starter.

 

My 05 Road King Classic did not come with one, came with the tender and had to install.Very simple though....

 

My '06 RKC came with it. I've noticed they are installed on bikes at all the local dealers around here...I wonder if it's a regional thing....Bikes in areas where they are likely to be laid up for the winter??? Maybe cuts down on battery warranty claims???

My pigtail is larger than others I've seen. It has a small, flat, third terminal....I asked my salesman why it was different...he said something about needing a new kind of charger....All the tenders they had in stock had the usual two prong pig tail....Never did get straight answer what the third terminal was for.... I just plug my tender into the regular terminals and it works fine...

 

my 06 ultra came with one, and the dealer says he didn't install it. so either I am seeing things or my dealer lied