The Wii-U is the only console I know about which comes with a HDMI cable, (I don't have one, but in unboxings you can see it)
PS3 and Xbox? Not that I know of, I had a PS3, and had to buy a HDMI cable with it.
Not even graphic cards come with HDMI cables.
Why not? VGA is getting old, why force people to buy HDMI cables at another place. Just add the price of the cable to it and sell it with the console.
It is not something major, just wondering why.