As it is created automatically, on Microsoft official source it says during setup. but in the 70-764 official exam prep book page 18, also there is another non official blog which say
Any time SQL Server has to protect one of those entities(DMK or Linked Server Login), it automatically creates a new service master key, if none already exists.
So I see a contradiction here. If it is created during a setup then it should not wait for some objects to be created, and if it is created after the setup, then it is not right to mention about setup generation. Should we correct the information in the blog?