This happens even after you have appropriate visa label. Can you imagine what will happen to you when you do not require visa label and you ought to travel to Bangladesh ?
Yes, traveling to/from Australia, you don't require visa label on your PP. They have your records on on-line. But when you will be passing BD immigration, the obvious question you will get is 'bhai, apnar visa ei to nai'
I had to fight with Australian immigration officer to convince him that my country requires visa label to let me in. (Kemne boli je, amader immi officer ra hoilo illiterate, tara passport e ronging poster deikhe manush charey) !