Can confirm. Haynes manual is wrong. I've had the manifold off completely the other day; fuel rail out n'all while checking injectors and there definitely isn't a fuel pressure regulator on the rail where haynes claims it is. They've just copied the mk2 duratec spec! Lazy bastards.
Anyway from what I've read up on all this it turns out the mk3 has a "returnless" fuel system. Basically the regulator is in the pump, it seems like it can be removed but it isn't adjustable or serviceable. Pump does have two lines though from what I can tell, a red return and a white feed, I think this is because the filter is outside the tank (it seems like usually returnless systems have the filter actually in the tank with the pump and the regulator so no need for a return at all outside of the pump).
Anyway I'm guessing the feed goes to the filter and then presumably it splits off into two lines afterwards, with one line going back to the pump as a return (and into the regulator inside the pump assembly) and the other line goes off to the fuel rail on the engine. The ECU controls pressure entirely by controlling the pump operation. If at any point the pressure gets too high the regulator lets fuel bleed back into the tank. I could be wrong about the return, I've only gone by pics I've found online and they all seem to show the pump having a return.
Oh well. At least this solves that little mystery (well, it was a mystery to me at least).