ILS don't have 'em 'cause you miss at a DH, which just happens to be very close to the VDP (if you calculated it). If you break out, you are essentially at VDP and can safely continue your descent
Some VOR approaches do not have 'em, especially if there is no DME readout. How would you know if you are at VDP? You miss at the VOR which may be midfield.
Ditto for NDB approaches. No distance measurements available for you to look at in cockpit.
On the other hand, some VOR approaches (e.g. VOR 29 @ KGNV) do have a VDP, 'cause they have some waypoints published, and you get a GPS readout of just where you are.
Pete