It's up to the carrier as to what is included in the box.
The O2 BlackBerry Curve comes with a leather pocket. Most of the BlackBerry Curves sold will include it. The AT&T Curve does not include it because they decided not to. The reason that carriers do this is to keep the cost of their kit down, which may or may not bring the final price of the device down for the customer (probably does). It's definitely a perk though that AT&T has the opportunity for more accessory revenue as a result of not including the holster.
The Pearl didn't include one either. They are consumer-oriented devices and most young professionals and consumers don't want to wear dorky belt clips. They would rather throw their phone in their pocket.