If you're wearing a belt anyway.... why would you need a belt for your U lock? That same stretch of "holster" already exists between belt loops on your pants.
I guess if you're the Clint Eastwood of cyclists, and are constantly "unholstering" your U lock to spin and reholster like a sixgun, I could understand it, but I generally use my U lock once, maybe twice a ride, so it seems a little overkill.