Is it important to set the tab sequence? YES IT IS. Not always we think about the convenience and user experience when we design the UI. Most of the developers across the world, first think about, is to meet the functionality. It is also so very important that we set the Tab Sequence properly. On a flip side, Unit Testing of any UI should capture this as incomplete and that needs to be addressed by the concerned developer.
A good article on this from David: How to Set the Tab Sequence. Read it and you will find many important details, which you may have overlooked or not be aware of. And don’t forget to set the tab sequence on each UI that is being designed.