If you are concerned, then yes, I would buy whole Mushrooms.

This is for a few reason: primarily - they are SO much cheaper!! They are fresher, and from a listeria POV, you can see exactly how dirty they are.
If your mushrooms are dirty and this worries you just rub them with a dry tea towel or rinse them very quickly (stalk down) under the tap.
Don't submerge them or drown them in water - the mushroom will absorb it all and you will get soggy mushrooms when you cook them.

Personally, I never bother unless they are covered in dirt, and never had an issue. But I only buy whole fresh mushrooms.
it only came to my attention last night! DH bought the packet from woolies and I thought, hmm I wonder if they are a risk food. Im a bit lazy and prefer not to cut them! hehehe I always cook them thought in either pasta or risotto so I am guessing this would kill any bacteria anyway?