Yes this is frustrating, because you would think it would work out of the box on a freshly installed system.
This has happened to me several times. Each time, I simply worked around the problem by copying the data from another location.
First, was a RHEL6 box.
/etc/puppet/hiera.yaml did not, so I simply did:
ln -s /etc/hiera.yaml /etc/puppet/hiera.yaml
The second time was on my Mac:
$ puppet apply --test ./myclass.pp
Warning: Config file /Users/stefan/.puppet/hiera.yaml not found, using Hiera defaults
In this case, I found a defaults file and copied it to
$ locate hiera.yaml
$ cp /private/etc/hiera.yaml /Users/stefan/.puppet/
$ puppet --version
$ hiera --version
$ cat ~/.puppet/hiera.yaml
# datadir is empty here, so hiera uses its defaults:
# - /var/lib/hiera on *nix
# - %CommonAppData%\PuppetLabs\hiera\var on Windows
# When specifying a datadir, make sure the directory exists.