As we know the Borg have assimilated thousands of species. Still none of the Borg vessels seems to have or use cloak technology.
Cloak technology is not something that is THAT hard to develop. Checking the state of the superpowers in the Alpha Quadrant:
- Federation - don't have but just because of some treaty. They developed some successful prototypes however.
- Klingons - have it
- Romulans - have it
- Cardasians - don't have (no reasoning)
Even if none of the assimilated species had cloak technology - we know that the Borg assimilated at least some Romulan and Klingon ships. So they must have obtained enough from the technology to be able to reproduce it.