Ms. S___ -
Yes, all arthropods have hearts, although not in the sense that we usually think of as a "heart." Arthropods have an open circulatory system, so that the heart is actually a contractile tube lying in the dorsal haemocoel, above the gut, and [in insects] extending through the thorax and much of the abdomen.
The question of whether fleas have a heart in the metaphorical sense, e.g. whether they feel any sympathy for the dogs, cats, rats, mice, and people they bite, is an open question, but my guess is that the answer is "no." Parasites, if they have any capacity at all for opinions, feelings, or attitudes, probably tend to look at us rather neutrally, as food, rather than victims.
John Janovy, Jr.