In slightly more detail, most common LEDs actually need a very low voltage, typically between 1.6V and 4V.
Historically, most incandescent and fluorescent lamps have been designed to operate directly off of 240V (or 230V, depending!)
Some lamps, and the ones being discussed here are probably MR16 Low Voltage halogens, will use much lower voltages such as 12V, hence need a transformer to drop that 240V to 12V. One transformer is generally shared by multiple lamps.
Various techniques are used with LEDs, to drop that 240V to whatever voltage the individual LEDs need. Typically White LEDs need between 3V and 4V, and simplistically a large number of small LEDs can just be wired in series (it's not quite as simple as that, but you get the idea). Internal transformers can also be used, although a transformer for each individual LED "bulb" would probably be excessively expensive, so cheaper methods are used. This is not apparent to users, because it's all done internally, within each individual bulb.
The GU10's that are being discussed are normally designed to work from the mains (240V) directly, rather than via a 240V to 12V transformer as MR16 bulbs are often installed with. Both GU10 LED and MR16 LED bulbs, need some internal method of dropping the voltage (from either 240V for GU10s or 12V for MR16s), albeit it's probably easy to design the MR16s to do this, because of the smaller voltage drop.
(GU10 and MR16 are really descriptors for the physical connectors, but typically are used to describe small 240V and 12V bulbs, often used in installations such as kitchen lighting).
So, when using 240V mains, the transformers needed to drop from 240V to 12V for an MR16 compatible LED bulb, are not necessary with a GU10 compatible LED bulb. This isn't really a feature of LED bulbs per se, which as I've attempted to explain, actually need a far lower voltage internally, but that's obscured by designing the individual units to operate from whatever voltage the original incandescent bulbs were designed to be used with.
There are some generalisations in the above description, but it's broadly correct in most cases.
As an aside, some very cheap 240V LED bulbs have been found, that allow very easy 'access' to 240V, because the many small LEDs used, are progressively dropping the 240V across a series of LEDs in series. With a poorly designed case, the 240V can accidentally become exposed far more easily and less obviously, than with a traditional incandescent bulb. You shouldn't be able to find these sort of bulbs in shops, because they're illegal to sell in the UK, but you may easily buy them from sellers on Amazon and eBay (or similar).
