They do not require pruning, especially in areas of the country where they remain evergreen. However, like any evergreen plant, old foliage will die off and cutting them back periodically will clean them up and improve their appearance and encourage fresh growth. I've seen many specimens of pampas grass in my area that have never seen a pruning tool and most look great. Typically the lush green growth will easily disguise any old, dead/brown foliage. It's kinda your choice.

If the decision is made to cut them back, there is certainly no need to do this on an annual basis, like one would do with a deciduous grass.