Yes.. they do have empathy... 100%... at all times... 

they don't know what to do with that information, or don't care about that information, or they don't realise the importance of those feelings, they may not have been taught how to express their feelings.... they may have been taught but still don't express it how we think they should 

lots of reasons why they don't react like we do when we have a sense of empathy.