Neither my launch DS nor my six-month old DSi came with screen protectors.  As far as I know Nintendo doesn't include screen protectors inside the package.  It's quite possible you received an open package and/or a used system.
Does the system show any signs of wear?  When you went into your system settings was there already a user name setup and/or was the clock set?  Have you tried registering your system on Club Nintendo and if so, did it say the system was registered to someone else?