Yes, and No. If your yarn is dyed in a particular way and contains natural fibres, then dye lots matter, you don't want to run out and find that your second sleeve is a different shade of that colour than the rest of the sweater. If it's a big box acrylic yarn, then it probably doesn't matter. I used a lot of Stylecraft yarns and their dye lots are very consistent and I've never had an issue.