HTC Desire is brand new - we (T-Mobile users) - have gotten it a good 2 weeks before official retail release (as it has now been delayed till April 7th)
Apparently copy protected apps will not appear on the marketplace until the firmware is approved - since i'm guessing these HTC Desires from T-Mobile probabley only got updated 1/2 days before we actually got them (seems logical since some people received pre release firmware ones).. It'll probabley be a couple of days or until April 7th till copy protected apps appear.
Write emails to HTC and T-Mobile - so they're also aware of this.
It happened to the Hero at one point aswell with a new firmware upgrade, everyone updated and it took a few days for copy protected apps to appear.
Hope that answers a few questions .