Not an Agile expert - but I think two of the things that may cause it to look like no risk planning is done are the language, and how it's done in practice.
For the language, I see most Agile practitioners and references refer to "impediments" rather than risks. Same thing really, but it can create the illusion that risk management isn't done, when in reality, impediments/risks are discussed every day.
On the practice side - in a typical (waterfall) project scenario you're going to do risk planning up-front, primarily because you've got a longer duration project, and you're looking at the entire span of the project for potential risks. So you could be trying to identify risks that may be 6-8 months out. Additionally, you may be dealing with outside vendors (parts being manufactured or deliveries) which bring another type of risk and are down the road a bit.
So you do 'risk' identification, planning and management.
In an Agile environment, this specific type of risk management isn't always necessary due to the processes used. In a 2-4 week sprint you're going to have a shorter time frame to look at. Also, if you're doing some type of Scrum variation then you may have the daily stand-up meetings, where risks can/will be discussed daily. In a larger type of project these may only get reviewed/updated during the weekly status meetings.