Nope, MFC does not come with the Express version.
To further add, I think MFC is wonderful. Even if just a simple wrapper, it takes away so much pain, for example, by providing overloads that actually works instead of filling in stupid structs and fields to specify what you selected inside the struct and getting frustrated whenever it doesn't work.
No, it's not perfect, but it's great over Win32. That's how I've always felt.