One of the settings you can set for Supervised devices is the ability to block modifying the Hotspot settings. However, AFAIK, this does not remove the setting; it just disables it (greys it out).
Are you saying that the Hotspot setting isn't even showing up on your devices?
Do you have any configuration profiles you're applying to these devices? Have you checked them to see if you have inadvertently pushed a setting in one of them that may be doing this?