One analyst's take was that it would be almost offensive to look at wedding rings while hearing of the escapades of Brenda and Damon.
I think (not sure) that they did wear them before; or at least he did. I seem to remember thinking about it in the PH and what a joke it was. I could be wrong though.
Another guess is that they probably do normally wear them because it adds to the perverted adventure of being married, advertising it and putting oneself on the open meat market at the same time. Just a guess since a lot of these sleazeballs are married.