I haven't checked everything at Home Depot, but many reputable retailers won't sell things in their store unless they have such a mark.
It's "online marketplaces" like Amazon (or AliExpress) where you're actually purchasing from a random third party seller, and the marketplaces attempts to disclaim as much liability as possible that I'm more wary.
I actually don't know the specific laws or regulations on this. It's very possible that it's illegal for Home Depot to sell a non-UL or other nationally recognized laboratory mark. It's probably that it's illegal for third-party sellers on other sites to do it as well, but my faith in Amazon and other "online marketplaces" for policing their third party sellers on this kind of stuff is...not high.
I'm just trying to be a lot more careful about the stuff that goes into real circuitry, because I'm more used to playing with low-voltage DC stuff where I'm just not too fussed about it, so I feel OK ordering anything cheap that probably works.
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Finally, I think it's actually a regulatory and consumer information _success_ that you feel safe buying something from Home Depot and wiring/plugging it into your house without thinking about the product safety risks. The reason for that is _those risks have largely been eliminated_. There was a time when you _did_ have to be super careful as a consumer of electrical products. Over the years, we've drastically improved the safety of these kinds of products to the point where we for the most part don't have to think about it anymore, because it's not a problem anymore. That's effective government regulation at work.