Where can I find the License Key

This is what I could find from https://docs.microsoft.com/en-us/advanced-threat-analytics/install-ata-step1

"If you acquired a license for Enterprise Mobility + Security (EMS) directly via the Office 365 portal or through the Cloud Solution Partner (CSP) licensing model and you do not have access to ATA through the Microsoft Volume Licensing Center (VLSC), contact Microsoft Customer Support to obtain the process to activate Advanced Threat Analytics (ATA)."

So it's meant to be available via VLSC but depending on how EMS has been bought you may have to contact Microsoft directly instead to process the activation.  Hope that helps a bit.