When I bought my Lumia 710 there is a headset in the box. But both sides looks same and there is no wording to indicate which one is for left and which one is for right.
I never noticed that with my wife's Lumia 710, but that's annoying. I'm not actually sure how you'd go about figuring out right and left, unless you had some audio that you knew was supposed to play on the left or right.