What's so odd about this is that they add the flash ($), but skip the magnetics! It just has series capacitors and I don't think the jack has integrated magnetics since it's small and it wouldn't make sense to have a series cap as well.
There are cases when a USB Ethernet dongle without transformers can be dangerous.
For example, I use a USB Ethernet dongle to connect my router to a cable modem provided by the ISP.
The ground of the cable modem is at the potential of the shield of the coaxial cable, which comes from far away and the voltage difference between the coaxial cable and the ground of my apartment is big enough to give you a serious shock if you would touch an exposed metal part (normally there are no such exposed metal parts).
So it is essential for the USB Ethernet dongle to provide insulation between the incoming Ethernet cable and the USB port that is connected to the router, which is grounded at the home ground.
A difference in potential between grounds in industrial settings is also really common. Especially if one plugs two different pieces of equipment into two different branches of the building's circuit, without knowing it, and then connects those devices with something like ethernet. With 20m+ cables, it happens. :) You'll be very happy for isolation then. 1 to 5V difference is enough to damage electronics.
With well-made Ethernet cables, even when they are shielded, it is easy to not touch any conductor (the good shielded RJ-45 connectors have plastic sleeves covering the metal).
On the other hand, I would have to be careful if I would want to disconnect and reconnect the coaxial TV cable that comes from the ISP, where the threaded coaxial connectors have a metal part. This is how I have learned that the potential difference between the coaxial cable ground and my ground is big enough to cause a shock :-)
