Honestly I'm glad they don't. Most of the time the set busts don't have nude versions - Azzy is literally the exception because two of her sets are basically temporary tranformatives. I'd find it absolutely jarring to go from Moira's berserker set bust, to DCL's nude bust during a sex scene - which is what would happen. I like the consistency in style.
Happy as a clam to keep those busts to icon and character sheets only - though I will say I kind of wish we could choose between the default bust and the set bust for the icon and sheet if we wanted to. I find it weird to use a lot of Cait's sets when my Cait is Leothran tf'd, for example.