I've seen installations where tar paper isn't used on the roof job. I'm not a roofer but I know what peace of mind is when you want it.
Believe it or not, I've 'heard' that tar paper isn't always required on a shingle job. (Why of course you ask?) Well, if the shingles are properly installed, you shouldn't need an underlayment. Well, I know for a fact that putting tar paper on a roof before shingling is MORE common than not. The advantage of having the paper is in case the shingles DO blow off, you'll have something to protect the roof until repairs are made. But assuming you don't get high winds, well, is paper needed (from this point of view)?
If you can get a hold of the warranty from either the roofer for the EXACT shingle being installed, or from the contractor, you can see if there's anything stating that the shingle / roof, will / won't be warranted should the shingles blow off. I have my doubts because usually there is a wind-sheer limit of like 50, 60, 70 MPH that shingles can be rated to before the warranty is voided. And the warranty is NOT usually for damage to the home or its contents. HOWEVER, the warranty may require the paper for whatever reason. The long and short of it, ... get a copy of the warranty for your EXACT shingle. If the contractor is putting up the same roof in your development on other homes, see if you can 'steal' an opened package.
Best of luck. Let us all know how you've made out.