Three main reasons i can think of:
1. If it's a dyno car, then there is a fairly low chance something is going to go through the turbo unless some one throws something at it.
2. If it's a high performance drag car, these engines get ripped apart after a few runs, some slight damage on compressor wheels from a couple of tiny rocks (still fairly rare at a decent drag strip) is the least of their problems.
3. A lot of people run map sensor'd ECU's, therefore for photos its pretty easy to take off an intake pipe and just show the turbo.
However if it is a road car then yes it is stupid to run around without an air filter.