Leg bands are not required everywhere in the US, and while they're *nice* for connecting the bird to the paperwork (and proving "ownership") that's pretty close to where the utility ends. There are ethical/safety concerns with bands, so they're not without their downsides. I'll let others argue for/against, if they like, but I wouldn't say it's a red-flag if a breeder does/doesn't use them. In those cases usually a short description of the bird on the BoS -- breed, coloration, defining marks -- suffices.
The Bill of Sale is the critical document, both on your side and theirs -- not only does it document the bird is yours, but they have to register the sales with their state licensing and the USFWS, who track such sales from breeders and vendors. The state is primarily tracking for tax reasons, but USFWS is tracking to ensure they aren't imported . . . which would be bad. If I needed to remind a vendor/"breeder" of a BoS, if the response is reflexive, they just forgot the detail -- no big deal. If they backpedal ANY, or say you don't really need it, take your money and WALK AWAY. Liekly you wont' have any problem with this.
I'll agree, Vet documents are a VERY GOOD to have -- you will likely have to ask. A good breeder will have them (though it may just be one checkup if all has gone smoothly with your little one), and it cost them next to nothing to pass the info along.