It's not a standard feature or necessarily mandatory to have a headphone amp included with a DAC, just that the EMU 0404 is a multi-purpose product originally used and intended for portable recording that happens to have a good DAC/ADC (necessary for good recording, right?) and a mediocre headphone amp.
Honestly, you're fooling yourself if you think just because the product has a sub-product included (amp, recording capabilities, etc.) that some other part of the product is "lesser" than other products in the same price range. This would be like saying such-and-such motherboard is worse than such-and-such other motherboard because the one has an onboard NIC or sound card/codec. Usually this stuff isn't done by the main product company anyway and is contracted out, so the main product isn't hurt by having another product "tacked on", as some would see it. The EMU 0404 is a popular $200-ish DAC because the DAC is good and compares very favorably with other DACs in the same price range, and I don't feel it's worth less because of the other features that come with it.
Also, in case you were wondering, the "premium" on the other parts is reduced since EMU is a subsidiary of Creative, which manufactures audio products en masse, driving costs down, not up. A $200 product from Creative is (more than likely) going to be worth more than a $200 product from a smaller company if only because Creative has a larger budget to work with (in all likelihood) and a smaller margin percentage to meet than the smaller company, assuming the smaller company has to make larger margins per item sold, which it should (economically speaking) to stay in business. DIY products shouldn't be considered here since anyone who can DIY can make a better product at cost from the best parts available in a given price range than a company is going to charge you for a product given profit margins.
Just my two cents, really. Also, the 0404 is better than the 0202, especially considering the option for balanced output from the 0404. From that information and from what I've read on the 0202 vs. the 0404, the 0404 must have a slightly better DAC/ADC chip inside (or at least superior circuitry if nothing else), even though both chips have 24/192 capabilities.
