Dunno about for Marines, but for Guard bionics are much tougher than their own flesh. As such, there's no point slapping armour over it.
For marines...well, with some chapters(Iron Hands et al), it'd be a mark of pride to have visible bionics.
Others, maybe they think those arms are tough enough to survive hits.
I think basically it is purely to look cool. But hey, it works, so...