No Ethernet port on a desktop is just insane. I can see the sense in saying "your dock is Thunderbolt and Ethernet goes on the dock" for laptops, but on a dekstop?
I don't think it's a bad choice. That way you only need one cord dangling from the device; the ethernet cord can be attached under the desk. It's actually a thoughtful feature; most people are annoyed by the usual mess of wires. This helps with that.
They could have added more ports, then.
It's on the power adapter and shares the same cord as the power cable so only 1 cable is needed to the iMac.