Should my outdoor spigot be attached to the foundation?
No. It isn't necessarily supposed to be attached to or bored through the foundation. Most spigots mount adjacent to where the plumbing travels through the joist cavity. It's simpler from a construction standpoint and puts the spigot at a more usable level. If that isn't an option due to the structure's layout, it could pass through the foundation but should be insulated with a foam sleeve and kept out of contact with the concrete.

That said, you sometimes see a trim block behind the faucet instead of just squished siding. With vinyl siding, though, economy often wins the day.