Some do have those. I have 5(4 different brands) between 256 and 1 gig in size. Only 1 has the little write protection toggle, and it was from a vendor, with unknown manufacturer.
Anywho... what permissions are you trying to change, and how? If you mean you are in the command prompt as root, you should be able to use "chmod XXX /dev/LOC" or chmod the mount point which I believe is "/dev/media". You can login as root via the "su" command, or you can "sudo ___________".
If you mean from GUI, you may be right, you shoul dbe able(when logged in as ROOT, not a normal user) be able to change permissions via right click on media... But you would have to be root in this case.