Does the enemy do headshots..

[Mordante]

And other locations or just the torso? 

[Melliores]

Your militia tend to prefer shots to the arms to inflict the inaccurate status.

AI shotgunners (Brutes actually aim both for the arms and legs to leave you sitting ducks with nothing productive to do on your turn. I have been shot more than once in the legs and it is not fun when you are on the receiving end.

To get shot at the head, the AI usually needs to have some good bonuses - high ground, a bipod + being prone or a good weapon. They do aim for the heads, including with machineguns. Trouble is they do not survive that long since you should be prioritizing snipers and gunners first.
 

[BossWeapons]

The enemies most certainly aim for the head and limbs. They often seem to favor limb shots when you're in a prickly situation to make it difficult for you to either engage, escape or close in. I've had many a situation where the enemy snipers have domed one of my mercs with their rifles when I've been playing carelessly.

[Mordante]

Gulp!.. I'm currently using a mod that blinds you as an effect of a headshot, I'm starting to reconsider it now I know this.