Yup, they all have it, but most of the time it's cut off, particularly on softer woods. I've seen cocobolo, ziricote, camatillo, granadillo, bubinga and blackwood boards with it, and I've always liked the look.
Btw, if you look at the axe I'm building, the top is granadillo, and it's got some sapwood on the middle.
From this pic, it looks like it's just rosewood, with a bit of the sapwood (white part, near to the actual bark of the tree) showing on one side. Hard to tell the actual wood species from that pic though, but almoast all regular fingerboard woods look BEAUTIFUL when they have some sapwood showing... like this: http://www.blackmachine.net/images/8f.jpg
If you are looking for wood for a fingerboard, allow me to recomend you some Granadillo. Stupid dense, feels very smooth, and has a very bright but sweet tap tone. Lmii sells it for dirt cheap, so it might be worth it to ask if they have pieces with sapwood.