HTTP/1.1 servers SHOULD send Last-Modified whenever feasible.

So when is it not feasible? Well, some servers leave it up to an application server (or cgi script, or SSI handler) to send the header for dynamically created pages. I know I rarely set it for cgi scripts since the cost of keeping track of changes, to me, outweighs the cost of just sending the content. So you cannot depend on it being there. You will get it from most web servers for static content but how do you know what's static and what's not (think rewrite rules).