I'm not quite sure they said they have no emotions. It's just that they don't act upon them usually. They don't feel guilt, remorse, regret, shame, sadness like humans do. They have lower inhibitions. They think more "rationally." They show no sympathy or empathy.
They're basically psychopaths with ESP. I think the writers of this series basically define them as clinical psychopaths.
Most contractors are psychopaths. Psychopathy seems to be a side effect of gaining powers. Some contractors seem to regain their humanity over time, some seem to keep it when they gain their powers.
Hei is not a contractor, btw. It's kind of proven he's something more. His origins differ from those of others. He's very guilt-ridden and shame-ridden. He's is heroic, you know. He does risk his life for others, specially on emotional crusades.