Oh, they most certainly race in the rain. And they do so at speeds that are absolutely astounding. Also, they don't do anything to mitigate the spray coming off the rear wheel, so the rider following will essentially be blinded by the water spraying onto his visor.

But that's not what the fenders are primarily there for, otherwise they would take them off in the dry. As mentioned, the main reason is aerodynamics, as they need to channel the air around the wheel and fork legs, while also trying to direct the desired amount onto the brakes and radiator.

Ducati actually went without them for a while in the early days of their return to motogp, because their monster of an engine was producing so much heat that they needed all the cooling possible. But, this is why comparing them to bicycles is a little silly. Wider tires, large radiators plowing through the air... and most importantly, they hit speeds as high as 215mph, and hardly ever slow down below 40 or 50mph.