Is it okay that a Leviton 9860-LHG CFL lampholder has no ground wire?
Yes, that is normal. In a metal fixture, to put it simply: anything that can conduct electricity (but whose primary purpose is not to conduct) must be grounded. This is in case something shorts out and energizes the fixture, if someone grabs hold of the fixture (and provides a path to ground via their body) they don't get electrocuted. Having the fixture grounded causes the electricity to go to ground through the ground wire (even if someone is touching it at the time, in theory the ground wire provides less resistance than a human body and so the human won't be electrocuted), and probably will trip the breaker very quickly.

In a plastic fixture, there is no exposed metal that someone can touch, and so there is nothing to be grounded.

Note that the junction box it's mounted in must still be grounded though, just like any other fixture. Often even non-metallic junction boxes have ground screws in them: I have insulated boxes I used in the exterior walls of my house that are made of PVC, but have a ground terminal connected to a small strip of metal that connects to the screw terminals, in this way the screws holding whatever is attached to the box are grounded.