Yes, both zinnias and marigolds should be dead headed for best flowering. Be careful w/ placement of the zinnias they tend to powder mildew very easily. Zinnias are great to cut for indoor flowers bouquets too.
I dead head when I remember... I did a terrible job this year since I started with 25 plants. They've since seeded and have more like 40 plants going now. So I'm figuring if I just leave them in the spring I've have 200 plants in that bed and not have to do anything! lol
They bloom pretty strongly though and dead heading doesn't seem to produce any more blooms, but they definitely look cleaner.
I never deadhead my profusion zinnia except when gathering seed heads and by fall they are a giant mound of nothing but colorful blooms (mine have been blooming for weeks). They never look messy and just to me are the best zinnia to grow for long lasting color.
One of the things we did when working at the greenhouse/nursery was deadheading. Often it was just an automatic thing walking by a plant that needed it. It does keep the plant trim, neat, better looking, and it usually does encourage more flowers.