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?