I have the Digital Devil Saga delux set, and the "40 page book" its advertised with is really the instruction manual (which has 40 pages). Yeah, I thought my new set was "missing" something too.
Just go to the Atlus website and order it from them. They put them up for sale periodically, it would maybe be something like $4 to get.
Oh yeah! Congrats on finding a cheap used set of Digital Devil Saga. All the stores in my area sell them for $50 used...grrrrr....and thats just for the game discs, not including the extra soundtrack and box cover.