I have at least one. I believe that all but one of the ones I've owned over the years came with a PCE system.
The first one I got came with an IFU + CD-ROM box set that was part of a collection I bought in the 90's. The PC Engine didn't have an RF out jack, just molded plastic of the shell in its place. So the PCE itself couldn't be played on its own, even if you had a compatible power supply. I'm guessing that this "combo" set was planned for launch as the main configuration and that core systems would be sold separately at some point. But then they couldn't get any CD games completed in time...