As a professor, I definitely want to know if a student is cheating in my classes. It's not fair for the honest students--especially if their grades are directly affected by the dishonest students' cheating.
This affected several other students and me when we were undergrads. In several classes, we had plant tests in which the professors would walk around town and we'd have to write down the names of the plants they pointed out. There was this little clique headed by a guy whose parents were in the nursery industry and when he realized which plant the professors were walking up to, he'd whisper its name to his friends.
His buddies wouldn't miss any. The rest of us would miss one. They got A's, we got B's. They made Gamma Sigma Delta, the ag honorary, the rest of us didn't...well, at least I did years later in grad school. We tried to report it to the professors who were involved but they were, shall we say, very senior citizens and couldn't believe that students at our university would do that.
Years later, I became an assistant professor there and the professor who was still teaching told me that he had indeed found out they'd been cheating. I don't know how, I don't know if they were punished. But yes, cheating by other people can adversely affect your grade...especially if there's a curve and if the cheaters get some "reward" (higher grades, honor societies, professional school) due to their cheating--and you don't.