do you iron them?

What you are experiencing is probably due to the thread used in the seams. The curling is probably due to the fact that the thread is shrinking/returning to it's original shape.

One thing I used to do (when a drier was not available and hanging was the only option) was hand stretch the seams when I pulled the sheets from the washer. I would use my fingernails (pinch the seam between my thumb and index finger) and then stretch the cloth through my fingers. This would HELP but it would not replace ironing.

Sheets without a seam might be the only option - but they would unravel well before they wore out...and I don't think they exist.

I love frette and sferra, but Matouk is a more cost effective option.

What dclostboy said. I usually spring for the Sferra and Frette on sale online.

The issue is the sheet fabric and the thread not shrinking at the same rate. One thing that can be done to minimize it is to pre-wash the fabric before hemming it, which may or may not be done in the usual course of making sheets. (One would think the bleaching process would cause some shrinkage, but perhaps not.) Anyway, as long as you have sheets that are one fiber and thread another, it's a risk, particularly if you wash in ways that encourage shrinking (i.e. hot wash and/or hot dry.) Unfortunately for practical reasons most seaming thread these days isn't going to be 100% cotton because I think as thread cotton tends to break. (You do see it for hand sewing like doing quilts, but I don't know anyone who uses it frequently for seams and hems.)

I'm willing to bet that if you wanted, you could get a seamstress or tailor to help you out, but the luxury sheets seem likely to be more cost effective if you get them on sale.

Maybe the brands mentioned above use washed fabric before making the final product so that there is no risk of shrinkage. Frette and Sferra are pricey so I would assume they keep well. I understand that Yves Delorme is also good. I've seen them in store and they feel nice, but they are expensive.
As for the thread these days, I can't find a thread that doesn't twists after I sew a bit..not sure why,,,,the quality is not what it used to be (my grandparents used to be tailors so I got to play with all kind of thread and fabric).