Yes they do. Why would you think they don't have brains? If anything based on what th3y do now that would make them MORE dangerous. Headshots not doing anything would be a pretty big disadvantage for everyone they fight. That would mean every ork you kill would have to be almsot 100% destroyed before it was actually disabled. It would be like fighting the blob; pretty much a waste of time and practiclly impossible.
Because they're grown from fungus? And mushrooms don't have brains. Or at least, not in the mammalian sense.
Customizable Bosspoles! Each one should be unique. From impaled Space Marine/Guardman/Eldar helmets to spent rounds, unspent rounds, teef of respectable various sizes, sharp bitz, and of course lotz n' lotz of skulls!