They do, they are actually quite effective now. I fly floatplanes quite a bit and since SU6, the water rudders work really great.
Edit: Do you guys talk about water rudders in general or in Husky only? I think the paid add-on planes have not been fixed so Husky and Ju52 rudders do not work properly. Let me check it and get back shortly.
The rudders do work on Husky, both the animation and better turning with the water rudder down.