The sdopts.rec file is a manually created file used by RSA Authentication Agents to specify IP addresses and server priorities, which would explain why you would not automatically see it.
Please take a look at
https://community.rsa.com/docs/DOC-47017 . The language is a bit outdated and I can update that but the concepts are the same.
Many of the options that can be configured in the sdopts.rec (Security Dynamics Options record file) can be done in other places, especially with the Windows agent (ver. 7.4.3 latest current version) which has the RSA Control Center interface locally on Windows, but which can also be controlled through GPOs - https://community.rsa.com/docs/DOC-106944
I recommend deciding what it is that you need to accomplish first, then decide if sdopts.rec is the best way to do what you intend, especially since you have to remember to check and maintain every agent that you implement an sdopts.rec file on. You can mis-configure the sdopts.rec file, so beware.
The file is optional, does not need to exist but the agent will check for it, is made 'by hand', and contains additional instructions for the agent, such as which server to send requests to based on priority, or set override IP addresses for the agent. Agent admin guides typically go over the settings in an sdopts.rec.