Well, there is a valid, third option here that allows everybody to cool down.
It is probable that all of them are valid B+W filters, but that B+W inadvertently omitted the retaining rings. In other words, a simple manufacturing defect in this lot. My packaging was correct, guys. I looked at mine and it is a Bay-II instead of a Bay-III. However, when I went and checked my other Bay filters, I found that the factory markings are always on the reatining rings for these Bay series. So, if one accidentally omits the ring, the lens will fall out, there will be no factory markings, etc. In addition, the stuff that looks like bathtub caulking is likely not a glue, but a thin cushion to prevent the glass from cracking as the ring is tightened down.
Yep, I'm the guy over at photo.net
I'm going to contact B+W and see if I can get a retaining ring and install it myself. Maybe it will work and maybe it won't. In any event, B&H has an excellent customer service department.