You're looking for this thing, under the right side cover if you've got it. The alarm module itself is behind the battery. The siren module is this thing under the right side cover. I don't think you got the siren module stock. They were an accessory separate from the security system primary kit when you added the security systems.
Just an FYI. If you're wanting to add the siren module rather than getting the original standard "Smart Siren" instead get the newer "Smart Siren II." They both do the same thing, both work with the original alarm system, but the Siren II has the transmitter/receiver built in to it to work with the separate monitoring remote that will let you know remotely if the bike is being messed with.
With the original Smart Siren those were separate pieces, didn't work too well, and ate up a lot of space under the right side cover. With the Smart Siren II module they seem to work pretty well, the range is extended considerably, and it's all one piece.