I've never bought one from the net or lbs that came with both types of pins. Lbs ultegra chains have been Shimano packaged with 2 tapered pins. The ones I've bought from pbk have been either Shimano packaged with tapered pins or oem with the 'pin sticking out of the link'
If you didn't get an instruction sheet which usually only comes with a Sh.. pack.. What it says with regard the short pin is-
"Black connecting pins pre-attached to the outer link (supplied only to the OEMs) can be assembled using Shimano chain tools. The assembly method should be the same as using standard reinforced connecting pins."