I found a few of these at Wal-Mart, bought them, and was similarly mystified about the lack of coupons.
I then found the remainer of them at Target (all except "Taboo: Tattoo"

), and they had the coupons stuck to the front of them. On the outside, much like a tear-off instant-redeem coupon.
Wal-Mart may have torn them off themselves, or may have requested copies without the coupons. I notice I can almost never find external tear-off coupons at Wal-Mart, so they may quietly have a policy against them or something. I dunno.
As for redeeming, here's the instructions from the coupon(which don't mention needing the actual coupon):
1) Buy: The two qualifying items (I'm looking at the Jonnny Quest coupon, so it says "Jonny Quest: Escape to Questworld" and "Jonny Quest: The Complete 1st Season")
2) Enclose:
...a: 3x5 card with your full name, complete home address (no PO Boxes), (optional) home phone # (including area code) and (optional) e-mail address.
...b: The sales receipt(s) for the DVDs purchased between 6/8/04 and 12/31/04 with the purchase price clearly circled.
...c: An original proof-of-purchase tab or UPC from the purchased DVDs (use tab "D").
3) Mail To:
WHV Pilot $5 Rebate
P.O. Box 2012
Grand Rapids, MN 55745-2012
Offer expires 12/31/04. Requests must be received by 1/14/05. Limit 1 per individual, household, group, or address and the right is reserved to confirm identity. Offer good in the USA only.
I won't type out the rest; that should be good for most of you.