iPad Pro Auto-Lock "Never" option is missing?

It is not necessary to have a profile on the device for the Exchange administrator to have some affect on your device. Just the fact you have the Exchange mail account on the device is enough for them to enforce some requirements for the network, which includes passcode for the device, and other small changes like the inability to never lock the screen. They have the right to enforce those types of restrictions to protect access to their network, which someone would have if you had auto-lock set to never and lost the device.

Do you have a work Exchange mail account on the device? Is the device managed by your employer? Do you have a profile on the device?

In the case of Exchange and business related accounts, many times it's a requirement of the business or their IT security teams to have the devices lock after a certain period of time, as well as require a passcode so that the data on it remains secure and private. The same can be said if a profile is installed or MDM software is being used. Going to Settings - General - VPN and Device Management will display any Configuration profiles as well as information about it and what it restricts or allows.