It is not a requirement for the bride and groom to take formal lessons before their first dance, but it does add to the enjoyment of both the couple and their guests.
If you've selected a special first dance song, that represents the two of you as a couple, you might want to personalize it even more by having a simple (or flashy, if that's your style) choreography that further shows off your personality together.
When couples get up on the dance floor and just sway together for their first song, it can be dull for both the couple and the guests. The bridal couple might also find that having a few formal "steps" allow for not only more enjoyment during the dance, but also can make for great photo moments that will be memorialized in their wedding album.
If you've learned how do dance a little for your own wedding, you'll probably find you can use your new skill again in your married life together--like when you attend the wedding of a friend, or when you go out for your anniversary, or just for a date night. It's a skill that you'll have to enjoy together as a married couple for much longer than just your first dance!