Fromt the ones I see available on Newegg, they don't show it coming with that adapter. One of them comes with a DVI to HDMI adapter, and the other doesn't come with one at all. Here's one from Newegg for under $5.
I suppose I should just suck it up and buy a DVI cable or adapter. I just feel scammed.
If your monitor supports DVI-I/D then you should use that instead. The colour quality of VGA tends to degrade quite rapidly at higher resolutions. If your monitor supports only DVI-A/VGA then the adapter costs only a few dollars.