I don't want to sound offensive, but why would an online service like blockchain (which uses javascript and other web technologies) download a wallet.dat file into your APPDATA folders?...
I have no idea why they would - all of you understand the tech aspects better than me.
But as far as why I was looking for it - it's because of this:
"Where is my wallet.dat file?
In Windows, go to Start -> Run (or press WinKey+R) and run this: explorer %APPDATA%\Bitcoin
In Mac, open Finder -> Press [shift] + [cmd] + [g] and enter ~/Library/Application Support/Bitcoin/
In Linux, the file will be located in ~/.bitcoin/"
https://blockchain.info/wallet/wallet-faq#So a better question may be - Why does blockchain give that info as to where to find the wallet.dat file, if they don't use one?
(Incidentally - a big surprise was reading the current info on blockchain.info, and finding that they mention Mt. Gox as one example of an exchange people can use. Nobody there has bothered to change that info. !!!???).