A clever leader might have tried to intercept the call for aid, yes. However, it is a common theme in the trilogy (and all of Tolkien's works to be honest) that the powers of evil are cunning, but also easily blinded by their arrogance.
Remember, the assault on Minas Tirith, as fearsome as it was for the humans, was not a critical part of Sauron's plan. If it worked, great, but even if it didn't, it would wear down resistance for the next wave. After Minas Tirith is barely defended with the help from Rohan and the Undead, Sauron is still looking to win (the good guys have all their chips on Frodo at this point with absolutely no plan B as their tiny army is heavily outnumbered by the forces that are still waiting in Mordor).
The only thing Sauron really is concerned about is finding the Ring. And sure enough, the only party of orcs that we know of to cross the great river Anduin has one task only: Escort the Ring or at least the hobbits that know of it to Mordor. Apparently, he couldn't infiltrate Rohan with greater numbers of orcs yet, so in Sauron's eye (pun intended), not a single orc can be spared to look out for some random puny human messenger. Or even larger groups to attack the beacons.
Also, intercepting the message so that Rohan can't help Gondor isn't Sauron's plan A anyway. Plan A is to use Saruman to distract and possibly subdue Rohan so that they couldn't send reinforcements no matter what. That Saruman falls so quickly was not expected on Sauron's part. Plan B could have been "If Saruman fails in his attack on Helm's Deep, he can at the very least turtle in Isengard and send some guerilla uruks to intercept that messenger / tie down Rohirrim forces". The Ents screwed that one up.
In the end, Sauron decided to not bother and just let the battle play out. If he's about to crush all human resistance sooner or later anyways, might as well let them all come into one place to slaughter them together. To his credit, it almost worked already - the intervention of the Undead is another unforeseen event that barely saved the good guy's skins. But as said already, he had enough reserves to try again as often as he wanted. So, yeah, from his point of view, messengers from Gondor are only minor distractions from the big picture, really.