In general, when adding a .S file, you've to set the filetype to GNU assembler file. In my case it was automatically set to RealView assembler file. Since I don't have RV, the .S simply was not used, and PSoC Creator didn't give a warning (took me half a day to figure out).
For the arm_bitreversal2.S file itself, setting the filetype to GNU assembler file won't work either, because it contains C preprocessor instructions (#ifdef, etc) and the file is directly passed to the assembler, which interprets those instructions as comments. So, the 'workaround' here is to set the filetype to C file. This will pass the .S file to GCC.exe, which does the preprocessing and then uses the assembler.
I informed Cypress about this behaviour and I'll post their feedback here.