Which Macs support HDCP on their built-in / native displays?
Basically every modern mac with an embedded screen supports HDCP.

iTunes will play all copy protected HD content on all integrated displays (MacBooks and iMacs) but not on non HDCP displays.

This lets us deduct that the integrated displays are HDCP compliant or at least that Mac OS ignores the DHCP flag when playing protected HD content on the integrated screen.

Apparently you might get this strange error, which leads me to think that Mac OS simply bypasses the HDCP check when using integrated displays.