Yes, this is surprisingly common, especially on Chinese-made goods. I assume they get the PSU through its EMC testing with all components in place, then omit the suppression components for production. It happens too often for it to be an accident. The cheaper factories probably don't even bother with EMC testing, just make up the paperwork and slap a CE mark on the equipment. This is the wonderful world of self-certification!
In the UK this is supposed to be policed by local Trading Standards officers, but they are too busy doing other things. We hear of a shop or importer being fined, usually for bad paperwork, only once every few years so the risk of getting caught is very small.