I've rented and used many tow dollies over the years and have never had one with brakes. I never gave it a thought--probably should have. Even if a dolly had its own brake system I want the toad to have its own system just in case it were to become free of the dolly.
Even though it is a nuisance to deal with I equipped my toad with a brake buddy and always hook it up. Used brake systems can be had often for less than $500 and I'd consider that money well spent.
The following website provides toad brake requirements for all of North America--almost all states require them: Towing Laws | BrakeBuddy - Braking systems for motorhomes towing a vehicle
The Brake Buddy info is somewhat dated but you can bet the laws haven't become less stringent.
Hope this helps. Jack