Graded readers are a great way to help step your way into reading native content. I have always focused on graded readers that come with audio because I find them invaluable. If you are at the level that you need a graded reader, then I believe you can benefit from the accompanying audio tracks to enforce proper pronunciation.
I don’t understand why some graded readers do not come with audio. Maybe someone can explain this to me? Am I missing out on something? 
I think it depends on what you want to focus your current learning on most. Audio with text together is great for comprehensive input.
By taking a set of a text and its accompanying audio and separating them, you can focus on testing and improving specific aspects. For example, you might read a section of Mandarin Chinese first and attempt to create a narrator in your head. Next, listen to the audio, and see which characters’ readings tripped you up, or which surprised you. Likewise, if your reading skills are significantly better than your listening skills, you might listen to a section first, and then check your understanding against the text. (I’m doing this now with Japanese.)
A lot of native level content that might be of particular interest to someone might not have audio accompaniment, and so getting used to reading without also being read to may be practice toward that particular goal. Though I personally feel the combination is invaluable at lower levels!
And perhaps the most important fact is accessibility. For some languages, or in some countries, or depending on your personal situation (audio materials are not cheap and libraries are not always reachable), there may simply not be enough of these kinds of resources.
I think historically making audio for reading material has been expensive. Getting a voice actor, a booth, recording equipment, editing, pressing CDs, etc… In the time of podcasts I think you will see more and more graded readers with audio.