The majority of Computer parts don't often come with thermal paste already applied. The use of thermal paste can help a CPU or GPU transmit heat more effectively to the associated heatsink or cooler. The majority of the time, it is a distinct item that must be purchased separately or included with the CPU cooler.
A stock cooler that has a tiny amount of thermal paste already applied to the base is typically included with CPU purchases. However you'll need to buy a different tube of thermal paste if you decide to install an aftermarket CPU cooler or need to reapply it for any other reason.