I think it is what ever you like. We see lots done like in your photo and sometimes see a downspout running down the roof to deliver the water to the gutter below. We also see the other type of dormer in your photo where most of the time there is a gutter that just dumps the water on the roof where the dormer and the roof meet. That water would cause the same damage over time but you never see any one trying to solve that problem.
Just another thought, gutters need to be serviced or cleaned from time to time, walking on the roof can add to damage and shorten the life of the roof, nevermind how dangerous for it for the person that has to climb up there and clear a blockage.