It used to be true that during a Facebook Connect session the user was asked if they wanted to share their email or not. I faintly remember you could even choose a proxy fb e-mail aka "fake email". Did they remove that feature?
In general, sites use email as an indication of a unique, real person. I imagine most of them do not really care about it afterwards, which is why the SSO systems even work (though, they can demand an email too).
And to answer scarlac's question, yes, they removed this feature a very long time ago.