Of Course you do -- If you are going to script in multiple SPs in the same .SQL file. Also if you are going to script in a SP and a grant it some default permissions in the same .SQL file. Also if are going to create an SP and say 'print' out some status messages in the same .SQL file.
We have faced issues issues like this in our system (using VB and SQL2000, with all business logic implemented as SPs). The author is not saying the GO executes anything in the SP, but how a misplaced GO introduces unintentional behaviour into your SP.