Till now I thought that embryonic stem cells have no epigenome as they are pluripotent. (I thought that since epigenome is what gives a cell its identity, no cellular identity means no epigenome) I saw something similar to this on this Wikipedia page. After fertilization, the paternal and maternal genomes are demethylated in order to erase their epigenetic signatures and acquire totipotency.. Other sources mention 'reset' in place of 'erase'. This paper rather suggests that stem cells do have an epigenome. Specifically, genes associated with self-renewal are silenced, while cell-type-specific genes undergo transcriptional activation during differentiation.. I am not very literate in biology, please excuse me if I made a mistake.
So there are a couple of things to bear in mind.
pluripotent does not mean that all genes are active. It means that the stem cells have the ability to form different cell types. However, it still needs to keep the cellular programme of a neuron for example silent. So the epigenome is still present to keep other cell type programmes silent until there is a transition.
DNA methylation is not the only source of epigenetics. Active and inactive genes also correspond to particular post translational modifications on tails of histone proteins. In the cell, DNA is wrapped around histones to form what is known as chromatin.
Hope that is a starting point to answer your question