Are there printers that don't have thermal runaway protection?
At the time of this writing (March 2019), many (if not most) cheap printers from the Far East are not delivered with Thermal Runaway Protection enabled as Marlin had this feature disabled as default for a long time (it was for certain so in April of 2018).
I know that Anet printers (A8 from experience) and the Creality Ender-3 printer (experience from another member) come with TRP disabled in the firmware when shipped from the factory. Thomas Sanladerer did a test on his machines and found that it was disabled on the Creality CR-10, Anet E-10 and A-8 had it disabled while the Mini Fabrikator v1 did have no Mintemp/Maxtemp but Thermal Runaway. Even the quite expensive BCN3D Sigma R17 had it disabled in April of 2018 on default.
Among the printers that come with Thermal Runaway Protection enabled are the PrusaResearch builds of the Original Prusa i3.
To test if it is enabled on your printer, you could disconnect the heater elements prior or during printing, see this answer or the process explained in Thomas Sanladerer's Video above or from the start of his safety tutorial:

How to test if TRP is active on my printer?
To test if thermal runaway protection is enabled on your printer, you
can disconnect the heater element of the hotend or the heated bed. You
can disconnect the heater element while the printer is cold (before
start) and also when the heater element is heating up. No heating of
the nozzle will take place, so after the period defined by the time
constant set in the firmware, the printer will halt if thermal runaway
protection is enabled. Power down the machine and reconnect the wires,
it is not advised to put them back in; when the printer halted, you
should power down or reset the printer anyways. If the printer did not
halt, power it down as quickly as possible.