While they do function on a higher level than the heartless, thought on the level of sentience doesn't occur. Only thought on a sentient level would result in "rebellious behavior" like that of not following the organization.
As far as the Dusk speaking "We have come for you my liege" line, this shows that Dusks are capable of speech, but it doesn't show that they have a high level of intellegence... It would be simple enough to have a Parrot relay a message right? I'm guessing it's a similar case for the Nobodies (though they're obviously more capable than parrots). Basically a Dusk could be ordered to let Roxas know that they came for him, speak the line, then do what it took to do so.