You mean on the basis that it's on fire in some pieces of artwork (esp. Horus Versus The Emperor)? There's no real reason why it would. Burn wounds can actually bleed a
lot, never mind the sheer physical and/or incendiary damage the sword wound itself would inflict*; see also
this trope.
We also have to account for the problems that cauterising a wound can bring up. Yes, cauterising a wound can and does stop heavy bleeding when done properly (or even improperly) but then you have to account for, at the very least, a not-inconsiderable amount of tissue damage and the heightened risk of infection. That's not really "doing the Emperor's enemies a favour".
*Incidentally, don't get me started on lasguns and laser-related injuries -- and this is not just because it's off-topic 
Don't all power weapons have the same problem? No wonder all the sergeants are so squeaky clean.
The disruption field around a power weapon doesn't do this -- it basically shreds whatever matter it touches. (To some greater or lesser extent.)
