If they don't come with one, they usually don't have room between the PCB and the glass to put one. There's no gap to slide one in. If they do have a backlight though, they are not reflective but instead transflective, and they don't do well without the backlight. The backlight takes quite a bit of current, so if you want a low-power set-up to make batteries last a long time, you probably don't want a backlight.
Note the selection guide on page 2 of the data sheet link at that page. The reflective type cannot be backlit; but as long as you have decent ambient light, you don't need backlighting. These intelligent character LCDs are driven with a much better duty cycle than what you might have seen on a graphing calculator for example. The contrast on these is much better than the graphing calculator, and in fact the supertwist one you referenced with the dark blue letters on a background that's silver with a slight light-green shade to it is a beautiful-looking display. I was fooling around with a half-dozen different sizes and brands of intelligent character LCDs last week for a work project, and was impressed again by what a nice display that is, definitely nicer than the one on my workbench computer in the first two pictures at
http://wilsonminesco.com/6502primer/displays.html.
