Yes, there is no player mark on the map, but there is an icon that centers the camera on the player (hotkeys: shift+z).
I know, but it still doesn't help with finding out where in the map you actually are! Why would anyone make a map without a player mark? :(
Answer: I guess to keep the illusion that you're wandering around a post-apocalyptic world where electronics don't exist? IMO it would kind of kill that illusion if the map had a blip on it that indicated where you are. Well kind of...
You could always use the map to "warp" to somewhere, and then you'll know exactly where you are! ;)
Though on a slightly different (but still related) note, most locations that are indicated on the map have a corresponding in-game "label" - e.g. a sign on a building or something, such as blacksmiths and the like. Not all of them, but most of them - and out of the ones that don't, you may find the game popping up with text descriptions and the like (at least in Teron).
Personally, I reckon they've done such a fine job on the graphics that I actually enjoyed scrolling around and checking out everything in the "game view" before I actually moved anywhere. Maybe that's just me though...
Oh and it could be worse - have you played Else Heart Break()? ;)