Fantasy Flight Games
Chaosium (nothing easily findable)
AEG (nothing easily findable)
Green Ronin (nothing easily findable for M&M other than Superlink or for AGoT)
ArcDream (nothing easily findable)
Archaia Studios Press
Eden Studios (it had one but the link's gone dead)
Eos Press (nothing easily findable)
ICE (nothing easily findable)
I could keep googling, but as I said, most...
[aside]Is ICE still in business? I thought they had close down.[/aside]
My first observation would be that a small publisher doesn't need a fan site policy. Not to be snarky, but you have to have enough fans who care enough to get fan sites. Small publishers just simply aren't well known enough to require one so it would be a bit presumptious of them to make one before it was ever required. Paizo only came out with theirs when it was clear that their fans wanted to make things. Which is when one should be made
So if you are including every small publisher who ever put out an RPG in your statement that
Most Don't Have One then I would say "yes, you are right, so what?"
My second observation would be that to have a policy, I would think that the work you produce must be your own and not a license. AEG does Farscape I believe but I doubt they are legally allowed a fansite policy for that game. (There are fan sites for legends of the five rings but I don't know the relationship between AEG and their customers, not being one.)
So... on your list you googled, the only two I think should have a policy that doesn't would be Green Ronin and Chaosium. I wouldn't be surprised if Green Ronin came out with one before too long as they continue to garner fans. I also notice that the Chaosium web site links to fan sites directly, so I am guessing there is some sort of policy there.
But again, to summarize, only the big boys in RPG publishing need a fan site policy and who are the big boys?
My list would be:
WotC
Paizo
White Wolf
Chaosium
Steve Jackson
Of those five, four have clearly stated fan site policies and the other (Chaosium) openly supports fan sites.
Others can feel free to suggest why other publishers might have a bigger following than the five I listed.