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Most common electrical or electronic products are sold (in the U.S.) without batteries, if the item uses any of the standard U.S. sizes (AAA, AA, C, D, or 9-volt). Thus the phrase "Batteries Not Included" is (or was) a standard Catch Phrase in television commercials for toys and games.
This is generally because the manufacturer is too cheap to spend a few extra cents on batteries. Historically, there was also a concern with the corrosion that could occur if a standard battery were left installed too long, potentially damaging or ruining the product, although this problem is partially solved by breaking the circuit with a tiny plastic strip that is removed after purchase. Another solution involves packaging the batteries separately; for some reason this is a standard practice with appliance remote controls. Further, if the device uses a non-standard size or a rechargeable, or if the batteries are not intended to be user serviced, it will usually come with the battery.
Nowadays, while this applies to most small consumer electronic appliances, more and more children's toys are packaged with a "demo" or "Attract Mode" that allows the little grubbers to play with them in the store, making it more likely that they'll beg their parents to make the purchase. Naturally, such toys get played with enough that the manufacturer's batteries are frequently drained by the time they actually make it home, fulfilling the trope in effect if not by definition. Also, "manufacturer" batteries (with some exceptions like Panasonic) are typically cheap generics that don't last as long as a brand name anyway.
A related practice involves the cables associated with consumer printers. Even back when parallel cables were used instead of USB, they were always a separate purchase despite being standardized; nowadays USB is even more of a standard but manufacturers make you shell out the extra $5-20 for a store-packaged cable instead of the $1 or less it would cost to put one in the box. TV devices aren't quite the same because of the variety of cables used to hook things up, but it is still rather obscene how much an HDMI or AV cable set costs in the store, making one wonder if there isn't some kind of collusion involved.