Answer:
No they don't so people who are allergic can still get the great taste of almonds.
There are different types of almond flavorings:
'Pure' almond extract is made from the oil of bitter almond and alcohol.
'Natural' almond extract also contains cassia bark essence.
Imitation almond extract is made from water, alcohol (32%), and benzaldehyde.
Also see the related question below for more variations on almond flavoring.