Some of these ladies go into labor with no bag, and it comes with the delivery. Not to worry, even if she foaled without a bag, and didn't develop a bag, the vet can give her a shot to bring in her milk. I can't think of but one time when anyone had to actually do that, but it does happen. Usually, if you think she's very close, and there still isn't much udder development, you can call the vet and let them know that you have a mare near foaling with little or no udder, and you are "advising" them your mare may need a shot for milk production. Sometimes just telling them gives us peace of mind -- and then momma foals and develops a perfect udder with plenty of milk for the little one.
Not to worry!