I would bring it up, definitely. That reflex is so ancient, and so intrinsic to our primate heritage (it's left over from the days when baby had to cling onto mama's hairy body). I've never heard of a baby NOT having it. The reflex itself is obviously no longer important, but there might be some underlying neurological thing that is preventing the reflex from happening. You would obviously want that aspect ruled out.
I am not a doctor, and your babe is probably fine, so I don't mean to sound alarmist. However, that reflex is an ancient, universal one -- I would most definitely bring it up at the next check-up.