You can get switching noise being picked up and transmitted by a heatsink. This can happen if the conenctions to ground are not good - or if your switching frequency is about the frequency that the HS resonates at. This will of course depend on the shape of the HS and how well bonded it is to the device.
Time-varying signals or power rails capacitively couple from the device being cooled to the heatsink. A floating heatsink forms a dipole antenna in combination with the power planes of the PCB hence radiating emissions directly or after resonance depending on heatsink geometry and frequencies involved.
From an EMC viewpoint, connecting the heatsink to ground would indeed be best in some cases (read on). A more general best practice is to connect the heatsink to the rail or signal that is carrying the fluctuating signal in the first place. By doing this the parasitic current that would otherwise flow is eliminated (minimised). The connection method of the heatsink to this fluctuating voltage must be of a low impedance at the frequencies and harmonics involved (short, thick, isolated).
In the case where the heatsink cannot be connected to the fluctuating voltage source (e.g no thermally-conductive pads used), a suitably rated capacitor can be used to couple the heatsink and fluctuating voltage at the frequencies involved.
I hope this was useful and it clarified some thoughts and suspicions. I am no expert on this, so for more info you can have a look at "
Minimising EMI from Heatsinks" by N.J.Ryan page 52-56 in the 2000 Annual Compliance Engineering Reference Guide. It is available online here:
http://www.ce-mag.com/ARG/Ryan.html