Upgrading and Repairing PCs 4th edition even says directly, that some shady resellers will put a heatsink on a chip that they're running beyond spec, but that Intel designs all their processors to run at rated speed without one.
I've never seen a Xeon without a heat sink, I don't believe they are designed to run without one.
I had a PC with an old PII or PIII cartridge.
The cpu and heatsink was fully integrated into what looked like a NES cart, with an integrated fan and everything. It was not really possible to separate the cpu and the heatsink as the locking mechanism to keep the cart in place on the motherboard interfaced with the heatsink assembly.
So I'm a little dubious of that no-heatsink claim.