I put on an ND filter for the first time today and when packing up I realized there was no glass/plastic in the factory bezel.  Did I lose it or was it never there?  Thanks if you can answer that probably dumb questin.

There is no glass in the factory-bezel. The glass stays on the lens (or is a part of it).

See this Video @ ca. 18s

Thank you, that's what I was guessing.  But even for an $800 drone it would make sense to have a replaceable piece of glass there so I wasnt sure.

Hello and good day Jayd1981. Thank you for reaching out and for the inquiry. The stock filter bezel of the DJI Mavic Air has no glass attach to it. The bezel is used to protect the thread of the gimbal of the said drone. Thank you.