You need a 6 pin plug to power it yes, and the cable you refer to I am assuming is the 2 molex to 6pin adapter. I've noticed they didn't include them in some but tbh most people getting the card will have a 6pin cord from the psu anyways. I know I have about 6+ of thos adapters laying around I have never used.
Or they want you to buy their psu's they are pushing in their new fancy pamphlet they include. Also to note only a 500w and above psu is recommended and I believe 650w for crossfire. Many even many old 500w psu's come with a 6pin with it. XFX has included them in the past and I would think its more of them assuming you have it already or a 6pin on your psu.