Yeah, it's in the Pirate Homeworld in that Metroid Processing chamber with the big pillar in the middle. You can't miss it, it's near the red door I believe.
I can't remember exactly what Retro said about the whole thing but it was something like "Guuh, it's only a coincidence that in the whole sentence, we've only put emphasis on the "Dread" word!11!!lolololol."
Random game thought :
Why is Bionic Commando Rearmed 2 getting so much hate? We finally get a real game and they're not even satisfied... I'm starting to hate the gaming community so f****** much...