It's not a shame at all - it's much better for the environment this way.
I have mixed feelings about Intel leaving off the cooler. I mean, if they are estimating the TDP of an overclocked SKL-K at 130W, then I can understand them not wanting to provide a stock 95W cooler, and having people attempt to overclock with it and have issues.
On the other hand, sometimes, you just want to get the machine put together, and having to buy a 3rd-party cooler is an added expense. Plus, the Intel coolers are fairly easy to install. (Ok, I know not everyone feels that way, but unless the plastic locking clips are actually damaged, I've never had that much trouble with them.)
Are they going to be charging slightly less ($5-10) for the retail-box package, now that it doesn't include a cooler? Or is this just Intel's excuse to charge more for them?