Why do some universities not have a comprehensive exam?
My department does not have a comprehensive exam. The most frequent reason I have heard is that we don't need it. On the other hand, some other departments in our university have comprehensive exams and I have heard that they are primarily used to weed out students after the first year.

I will venture to say that there is absolutely no impression towards graduating from a no-comprehensive program. Research job committees look at publications, letters of recommendation and research experience. Graduates from my program have found jobs wherever graduates from similar programs find jobs.