In the same - or very close to - climate as yours and it's about 6 of one, half dozen of another here :-) Some do cut back annually....some don't. The ones that seem to get the most pruning attention are those in waterfront locations that look pretty ragged after winter windstorms.

Since true pampas grass, Cortaderia selloana, is considered an evergreen grass, there is never a *requirement* that it be cut back (same with all other evergreen grasses or sedges) but it often looks better if you do. Really, it's your choice!