Snap ring / Circlip is on the end of the screw post that mounts the light to the rail. Look at the photo above and you'll see a post coming out where the word FOXTROT1X is. It's on the end of that. If you unscrew the post 'too far' you'll force the snap ring off the post and could deform it. From some other reading it sounds like SIG is sending replacement clips to those who ask (in USA anyways....). My snap ring came off as I undid the post 'too much' and now the ring is deformed. The system will still work, the clip is more of a 'keeper' to keep the post in place when the unit is removed from the pistol.
I noticed if you try to mount this light tight to the trigger guard on a Gen5 G17, it impeded the switch action. Need to mount a bit forward of the trigger guard so the switch action/travel will clear the obstruction of the wide trigger guard. Not a big deal but something to be aware of if you are mounting on a Glock and finding the switches are too stiff...