Weird, this same idea played out in my head about a week ago. With Loki introducing his youngest sons to their oldest half-brother. Hey, better they learn about Sleipnir from him than hear the story from the Aesir. And they would have eventually. The Aesir LOOOOVE to tell that story every chance they get (In their defense, it is never EVER going to stop being funny).
Loki seems rather proud of himself here. I can fully imagine him saying, 'Vali, one day I will tell you of how Sleipnir got here in the first place. But in a few years, mind you...' Ah, good old silver tongue!