Right at the connection point. It keeps the pressure of the water from pushing back into the the pump when the pump is not running. There have been some folks that have had water flow back into the tank but I believe this to be with the 2 roller peristaltic pumps. Either way you don't want that backpressure onto the pump tube when the pump isn't running.
They do make quills that have a built in check valve but the ones I have seen look longer than the one you have installed. Did that quill come with the tank/pump?
EDIT: This is the quill that has a check valve in it.
I double checked with Stenner and they stated that the Injection fitting is sufficient for 25 psi or less. See the diagram below where the check valve is used for > 25 psi and < 100 psi.
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