I am convinced that this issue is a packaging bug in the Supervisor package in Ubuntu 16.04 and it seems to have been caused by the switch to systemd:
This issue was already reported upstream on the Supervisor project's issue tracker (where nothing can be fixed) in issue 735.
I was bitten by this issue a few days ago and was astonished to find that this issue was never reported to the package maintainers, even though Ubuntu 16.04 was released quite a while ago and this breaks backwards compatibility and expected behavior. This is why I decided to report this issue to the package maintainers in bug 1594740.
I documented a simple workaround in bug 1594740 that doesn't require any configuration files to be created - you just need to enable and start the Supervisor daemon after installation of the package:
# Make sure Supervisor comes up after a reboot.
sudo systemctl enable supervisor
# Bring Supervisor up right now.
sudo systemctl start supervisor
I'm not so sure that this will be fixed in Ubuntu 16.04 but at least now there's a central place to gather complaints and document workarounds (in bug 1594740, not in issue 735).
If anyone was bitten by this issue, consider voicing your concern in bug 1594740 to convince the package maintainers to fix this issue. Thanks!
Update (2017-03-24): Yesterday a fix for this issue was released to xenial-updates as a result of bug 1594740 so new installations should no longer run into this issue.