My sergeants are a mixed bag. Some do, some don't. Personally, I think that all marine sergeants should have SOME rank insignia. (I know it isn't realistic, but the Space Marines are based on a heraldric tradition, where an insignia of rank is SUPPOSED to draw extra attention to the bearer, so that they can engage in the most glorious parts of the combat, against the most worthy foes.) Generally, I try to give the sergeant of a squad the coolest head I have for that squad. As a Salamanders player, the coal-black skin and red eyes are part of my army's look, so I don't want to miss an opportunity to use it. So I try to throw in a helmetless marine now and then, if only to get my deviance on.
That's just my opinion of course. The helmet issue is one of the fundamental schisms in how people feel the marines should be portrayed, and I don't fault people on the other side.