I'm glad they don't. Most of them just end up in landfills unused. And not just the landfills, but also the waste in resources in making them in the first place. Hundreds of millions of cables... billions.
Same with all those included earbuds. How many iPhones and iPods has apple sold in the last 10 years?
Please - no more included cables (at least after a cable type has become an inexpensive commodity).
While I definitely get your point it's super ridiculous for a company selling a music player not to include earbuds.