I've seen them before, but i don't remember where. It's just like a lock with a slot in it instead of the u-bolt part, and you slide it over the rotor and the pin locks through one of the slots or holes in the rotor. An inexpensive alternative to this would be one of the big U-shaped bicycle locks through the rotor.
I'm not so sure about how effective one would be though. It may make it a little more difficult for thieves, but it still wouldn't be that hard to get by. You can easily drag a quad even if the rear wheels are locked, and if they got it started, it would probably be possible to tear that caliper right off the mounts, but then i guess most skid plates would catch it, if it did bust the caliper off. But it could still be dragged away regardless. I think chaining it to an immobile object, such as a chevrolet truck, would probably still be the best way to prevent theft. (anchors are about the only thing chevys are good for anyways)