Only Banias and revisions of Dothan from before Q1 2005 lacked PAE/NX support.
Service Pack 2 for Windows XP introduced DEP (which leverages PAE) in August 25, 2004.
The Pentium M line were intended as laptop only chips. They were vastly superior to the Pentium 4 of the time, in my opinion, but they were not sold on the desktop and did not directly compete against the Pentium 4.
Laptops of that era did not need 36bit memory addressing. My
760 Dothan did support NX and PAE, but the accompanying
915PM chipset maxed out at 2GB of RAM and only had 32bit addressing.
In short the product was never in a market that needed PAE and the hardware ecosystem around the Pentium M didn't support PAE. When a software need arose (DEP) it gained the functionality back.
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