I think it might be important in certain situations. I am thinking specifically of long SBR (subject brightness ratio) subjects we often get in the landscape. My Kodak DCS SLR/c has about 6 stops of useful latitude at ISO 200. If I encounter a scene with more than 6 stops I have a decision to make. I think it's best to allow considerable lifting of shadow areas in post processing, so I don't want my shadows to be exposed much below zone III. What I have done is the following:
I shot a sequence of frames of gradually changing exposure in RAW mode. I started with a neutral evenly lighted subject such as a grey card or the blue sky at zenith. If I expose down in 1/3 stops from that point, down as many stops as possible for my shutter speed range, I'm getting frames that have a known exposure relative to 'middle grey' exposure. For instance, I can choose the frame exposed at two stops below the middle toned exposure, this is zone III by definition. I open that frame in Photoshop CS RAW editor. I can set the proper white balance since I roughly know the color temp of the light I shot in (e.g. daylight is 5500K). Now I increase exposure with the exposure slider and view the frame at say 50% zoom. For me, I see that I can move up the slider about 1 1/3 stops before I see significant posterization artifacts. So I conclude that for me, I can place my shadows in Zone III then I can at least move them up by one stop. If I look at the Zone II shot, then I can see that I can move that up by no more than 2/3 of a stop.
I also make use of the frames shot above Zone V. I can take a frame that is three stops above middle tone and move it down 3 stops and it looks natural. If I take anything that is strongly color saturated such as the blue sky, I can see that my movement is less than if I chose something neutral such as a grey card as my subject. I can place a blue subject in Zone VII 2/3 and still recover the frame back to a lower exposure with the slider. So I know I can go out and shoot blue sky as highlight and place on Zone VII 2/3 and I'll get a useable frame.
So if I encounter a 8 stop SBR scene, I need to do something fairly drastic. I can risk noise in my shadow areas if they are small enough or I can blow the highlights if they are small enough. Otherwise I'm going for a grad filter, or thinking of digital blending. I'd rather not blend as I haven't had that much experience or success. If I am at a lower SBR then I have a good deal of flexiblility. I think using the first stop of brightness is a good idea if you expect quite a bit of post processing. Keep in mind also that future RAW converters might do more with these frames that are blown and seen too far gone for us now, but that does nothing for useable results today. What I do is bracket around the value for the highlights I have established. I can place my highlights in Zone VIII (+3.0 exposure steps), and I bracket around this value. I may go from +2.0 to +4.0 for important shots. I am shooting digital, so the cost of this is minimal.
So in summary ETTR is a correct strategy but the method requires a certain flexibility. I bracket judiciously around a fairly high value. With my camera I can recover highlights way into the +3.7 level, but this may not be desirable in all circumstances.