Followup
I contacted CarMax about the missing EVSE, and they pointed me to a hidden compartment for service equipment, thinking it might have been hiding in there. The EVSE wasn’t in there either, but there was the “tire mobility kit,” so it’s good that I have the official one too!
Anyway CarMax is going to order me a replacement EVSE as well. Nice.
I suspect they saw the NACS adapter and confused it for an EVSE, which is easy to do — I’d made the same mistake during my test drive and walkaround!
But yeah so far I am very happy with the CarMax experience.