The last USB printer I had (some $50 HP that looked like it should have been hooked up to a Mac, hehe) also was without a cable. I didn't notice this omission mentioned on the box either, but luckily had plenty of spare cables (including the kind with a smaller plug on one end, as it seems you are speaking of).
My current printer DID come with a USB cable, but I hooked it up Ethernet instead. It took quite a while to find an affordable all-in-one that would not only do network printing, but also network scanning. It's been a great little machine thus far.