No they don't come with cleats attached. You are correct.

But shopping for shoes at local bike shops in some places can leave one with not a lot of selection to choose from. And shoes do determine whether you use two hole cleats or three hole cleats. So if shoes for two hole cleats are all that can be found that are comfortable or desirable, then the pedal will need to change.

However we just learned the OP already bought shoes. So again, you are correct! <grin>