This is nothing unusually with Sony, it is one reason why I avoid where possible in buying this company's merchandise as they appear to be the opposite of all the other manufacturers who are all up for PC connectivity.
Saying that, my Sony ericsson phone came with everything needed which was a real surprise...
As for your part, try an independent retailer like a camera shop or try your nearest Sony centre or you could get the Sony customer service number and complain that the camera is missing its cables to connect to the PC and video, bull them that you bought the camera to use and you cant so you either want the cables supplied or your returning the goods for a refund.
The best way to tackle company's is to call them can complain about their "Inferior" product, most company's don't like it and it gets reported far quicker and they monitor this type of feed back.
When retailers get the picture that a product is purchased to be used, that's when you see products on the market that come with the cables.
NEVER EVER believe the guy in the shop saying that its a complete package, get them to prove it first before you buy... If they give you bull about it being a sealed box, then that's indication that they dint know and that's when I always say no thanks, Ill leave it.