Hmm. I belatedly checked mine and was astonished to find the same pattern, except for Webster's 3rd unabridged, which, in its annoyingly eccentric way, lists
düsseldorf or duesseldorf or dusseldorf (adj) (usu cap)
I can't really account for the difference, because like Gibson, I'm sure that in practice a lot of people never used the umlaut, and some of these same dictionaries are the ones that would be determinedly descriptivist on any number of other issues. I can only conclude that Düsseldorf was enough smaller than Zürich that it was just treated as somehow less anglicized, or it de-anglicized earlier, perhaps over several transitional decades, even a century? But it really doesn't make sense.
Maybe it's actually a more recent import, and no one was very aware of its existence in English until the industrial age, when specialized typesetting was at least possible, if not necessarily common?
I suspect that if anyone cared enough to search exhaustively, they could find the umlaut-less spelling in quite a few older published texts, and a lot of informal current ones; but maybe I'm wrong and I've only imagined seeing it.