Never have and probably never will. Don't see a need. I don't wear a cup while golfing either. As a player the cup is necessary because you are trying to stop balls. As an umpire I'm trying to get the hell out of their way. I've never once been hit by a ball in a game anywhere on my body, let alone in a particular place.
This MLB umpire was trying to get out of the way too, but to each their own.
http://mlb.mlb.com/news/article/mlb/umpire-brad-myers-was-struck-by-line-drive-in-indians-reds-game?ymd=20140317&content_id=69513176