They accumulate no more dust than other surfaces and yes they must be dusted.
The chair rails in my office are natural wood with a clear stain and need weekly dusting, the chair rails in our kitchen are painted with a high gloss paint and only need dusting about once each month.
We have crown moulding in the living room and it is dusted weekly with an extended swiffer, this is no different than dusting the surface where the walls meet the ceiling so that no cobwebs, etc. accumulate