This is definitely something that is important to teach... I've read too many stories about dogs running out and then getting hit by a car
This is why we built a gigantic privacy fence out back and a picket fence out front. I don't care how well trained my dogs are, if there is a squirrel across the street... All that training goes out the window. My front fence even has a spring that forces the gate closed behind you. I'm not taking any chances!