Absolutely - if you don't test, how would you know when to ask for the semen to be shipped? Chilled semen doesn't live as long as fresh, so you have a shorter "window of opportunity" - you might be lucky and get it at the right time, but why guess? You're already spending hundreds of $$ shipping, might as well not waste it by not bothering to test and just "guessing" when she's ready!
Why wouldn't you progesterone test is really the question
How would you time the breeding without it? When would you ship semen? Do you really want to spend all that money for kits, shipping and the stud fee itself and not spend a few extra dollars to progesterone test?