What should I do if I am asked to review a paper that should have been reviewed by an ethics committee, but was not?
I think it's quite a leap to jump from the fact that there is no such statement to the conclusion that it has not been reviewed. You should ask for clarification on that point in your review, rather than outright rejecting it.

Also, there are different rules in different countries, and the notion of an IRB might not exist, or the procedure may go by a different name. In our department, for instance, a formal process of ethical approval was only implemented a couple of years ago.

So, short answer: ask what ethical procedure was followed, and how that relates to the obligations in the country and/or university the researchers and the participants are based.