Most quality filters are not sold with media because the manufacturer does not know what type of tank you are going to use the filter on. What media works well in one regime would not in others.
To supply with media would require sending all possible media types, which would be prohibitively expensive.
Or, send a compromise media which may work to a certain extent but is never going to be ideal for anyone.
Or send no media and let the aquarist decide what he/she wants.
That said, Eheim did, for a while at least, include a few odds and sods media wise - I think they were either promotions, or samples though. I have a box with some of the unused stuff lying around somewhere.