ANC headphones may not be rigorously tested for hearing loss protection, but the perceived reduction in volume is real. As in, if it feels quieter for your ears, then you are protecting your ears from those sounds. As others have said, large transient sounds will not be cancelled as much, and you will certainly hear those as louder, and even possibly too loud.

I think the misconception might be based on knowing that ANC headphones use an equal but opposite sound to cancel the incoming sound. So twice the sound going into your ear must not be healthy. But the air pressure does cancel prior to reaching your eardrum. If you can't hear it, it's not hurting your ears, (mostly).

You're absolutely right. As with most things like this, I believe the reason comes down to, money, time (which is money) and laziness, (which is time * money).