The batteries have so high internal resistance that it's like you always have a resistor in series with the battery.
Basically such tiny batteries can only output a few mA at best so there's no need for current limiting resistors.
Here's for example a datasheet for the CR2032 style battery :
http://data.energizer.com/pdfs/cr2032.pdfNotice there it says Typical IR (internal resistance) and a value between 10000 mOhm and 40000mOhm .. so basically between 10 ohm and 40 ohm
So let's say we go with 25 ohm internal resistance then a red led with 1.7v forward voltage would be limited to Vin - Vforward = I x R => 3v - 1.7v = I x 25 ohm => I = 1.3v / 25 = 0.052 A or 52mA ... the batteries that thing uses are much smaller so the internal resistance is much higher.
Bigger batteries have much lower internal resistance, so you'd need to limit current.