Yes a good question, I have wondered the same thing.
I have seen blocks that slide over the round bearings and then the blocks are attached to the machine. I dont know how the blocks are fastened to the bearings though. The other thing that strikes me odd with the rods is that they have to be fastened and supported from each end. This means that these rods are supporting the weight of the machine. I know you can get midway supports, but they look like trouble getting them in accurately.
I guess this is why you see a lot of people using THK rails. It solves all of the above problems.