Anyone sift their powdered sugar to help their buttercream become smoother? Does it matter?

Yes, I sift mine. I've found that it helps break down lumps in the sugar (I find them more in boxes of PS rather than bags of PS). Otherwise, if you keep beating the BC to get the lumps out you'll end up beating a lot of air into it.

It is definitely worth your while to sift your powder sugar for smooth icing and also not to clog decorating tips.

If it is a bag that has only been partially used, I will sift it. However if it is a new bag I do not. I did sift new bags, however, never found even a minor clump in a newly opened bag so I stopped.