Consider the direct sum of infinitely many copies of the integers, where 0 is the designated element in each set. The sequence 0,0,3,4,0,7,9,0,0,0… is in the direct sum, assuming the zeros go on forever. However, the sequence 1,1,1,1…, with ones going on forever, is not. A finite number of entries can be nonzero; everything else must be zero.
We don't need the axiom of choice here, since a well defined function f maps every x to its point. In the previous example, f(x) = 0 for all x. The direct product, and the direct sum, is always nonempty.