I have 4 XP systems in the house, and as regards "all Users", 1 has neither NTUSER.DAT or .POL, 2 have .POL and one has .DAT.
The 2 with .POL are, I believe, because I am using local group policy settings (childrens' PCs).
I am also surprised that 1 PC has an All Users NTUSER.DAT at all! However, it is definitely there, and looking at the date would seem to have been created at the time that Windows was installed (and not modified since).
SD