Indeed, it seems to have neither the combined BT/Wifi IC of the pi3, nor the antenna. I guess there was no way to do it and keep backward compatibility as the original compute module had one of the sdio interfaces brought out to the connector. On the pi3, one of the SDIO interfaces is brought to the wifi IC and the other one to the microSD socket. On this compute module, one is brought to the connector and one to the built-in eMMC storage. Presumably it's possible on the light version with no built-in storage to add a board/module that does wifi (can't add the chip directly because it only has an emmc footprint). Maybe they'll end up doing that later on, have a revision that has onboard wifi but no storage. I don't know how useful that would be though.
Unfortunately, there's two SD interfaces on the board, and the one that does eMMC (or the SD card on a normal Pi) can only do storage and can't do SDIO. The 2nd interface is used for the wireless on the Pi 3, but that one's brought out externally on the CM, so you can't really do that.
The answer is to put the wireless on the carrier board for the CM, of course, but that's awkward because of the regulatory requirements on wireless bits.
