Other sites do not. Why is that? Is this a bug?
Other than Super User, Server Fault, Stack Overflow also has Meta Stack Overflow.
These three sites are called as Trilogy, short form as SOFU. They are the initial creation of the sites. Reference: https://stackoverflow.blog/2009/05/31/the-stack-overflow-trilogy/
After these three sites creation, the stackexchange.com network was started. Later for the newly created site's meta contains the Meta in the last, but they didn't change for it's trilogy sites.
Also the meta site URL of the trilogy sites are
https://meta.<sitename>.com, whereas the remaining site's meta URL are