The checksums would be created when the release is created. The create_release.sh script in the bundled-libs/ directory does the trick.
If you upgraded from an SVN checkout, it wouldn't have the checksums. You could create them yourself, of course.
For you and others like you, I've created a
checksum ZIP for the latest s9y trunk (9/9/08, revision 2332). Just unzip it and put the resulting checksums.inc.php in your blog directory (by default, serendipity/).
Note that the checksums are used only for verification, and will cause no change in behavior at all. They are used merely to see what has been changed since the checksums were generated, and print a reassuring (or terrifying) message for the administrator.
The idea is that, at some point in the future, all versions of Serendipity will be released with a checksum file. If the integrity check indicates that files have been changed, you should know why. Could be you changed them yourself, could be a bad upload, or it could be hacker. Either way, you know. And when you need help on the forum, you can check for bad uploads and modified files.
If you need another checksum zip, let me know.