It depends on the design of the VRM.
Most VRMs are designed so that the heat-tabs of the MOSFETs are soldered to the motherboard. The motherboard, itself, forms the heatsink for the VRM. The top surface of the MOSFETs is insulated, so very little heat flows up. However, a lot of a manufacturers still add heatsinks for decoration purposes.
Some modern VRMs are now designed so that the heat-tabs of the MOSFETS are on the top surface - these are mainly used in GPUs and laptops. On these, the heatsink is essential, as these VRMs do not use the motherboard as a heatsink.