Neal,
yanno -- now that i think about it, I only get volunteer from the hardier varieties. The Mexicana Purple I have and the Honey Bees. [i'm trying to think if i have another one.... they all look so similar - the 'bottle brush' ones. ]
My purple pygmy doesnt either... but then, for those, i do try to collect every single seed for trading. So, it's possible they would if I left a few seeds behind.