I have read it in several articles but if you check the Nissan home page there is nothing about an oil cooler in any specification on any model.
Strange.
As to where the oil cooler is located, I would say in front of the radiator. I don't have any on local lots yet to look at.
These are just examples of where it's talked about, I could list about 50.
2012 Nissan 370Z: Standard Oil Cooler, Pricing Unchanged - autoevolution
2012 Nissan 370Z gains Normal Oil Cooler, Base Manual Model Dropped from Roadster Range | Car Review
Nissan Announces Pricing for 2012 370Z Models