Typically power resistors are designed to operate without a heatsink (or have one built-in). If the manufacturer recommended use of a heatsink, it would be covered in the datasheet.
That said, they can get quite hot, so care should be taken to keep temperature-sensitive components away from a power resistor that is dissipating a lot of heat. Additionally you may want to ensure that the resistor is mounted with an air gap below it as well (not touching the PCB) to promote air circulation on all sides.
A surface mount power resistor with a pad for heatsink may require a copper pour/heatsink or a physical heat sink of some kind attached (see the datasheet for the component in question).
The ease of automated assembly is a compelling advantage in most western countries. Here are some things that will help:
You can get aluminium-backed PCBs that can have SMD power devices on one side, and the aluminium side of the PCB goes flat on a heatsink. The thermal impedence isn't as good as a mica washer but it's workable.
The lower purchase cost and the much lower assembly cost of power devices means that you can use more of them, which means you can spread the heat.
Doing something about switching losses is very important because most orthodox current mode PWM has more switching loss than conduction loss when being operated at normal frequencies.
Generally your SMD PCB will have less parasitic inductance than a thru hole PCB of the same circuit. This will mean cleaner waveforms especially at high currents and can help reduce radiated EMC.
Some of the better parts are easier to get in SMD.
Best Answer
If it is the same base part number, same power, different packaging. Heck, its frequently the same die.