No they don't? In the latest AMD range, for example, only the Ryzen G series has a built-in GPU, while the regular Ryzen does not. Even on the Intel side, while the regular chips do include a GPU, it's a pretty rubbish one--that's why they also have G class processors which have more powerful built-in graphics.
You're correct that you shouldn't rely on these built-in GPUs, though. Unless you're seriously strapped for cash, a separate plug-in GPU will generally perform better.