The reason you should sift the powdered sugar when making frosting is so that you can eliminate lumps in your frosting. You don't always feel like taking the time with an extra step, but it really does make a huge difference. Start by measuring out how much powdered sugar you need, and then sift the powdered sugar after you’ve measured it. I use a fine-mesh sieve over a large bowl or a sifter. Use your fingers or the back of a spoon to press any remaining clumps through the sieve. If you were to just dump the powdered sugar into the buttercream without sifting it first, all of those clumps would end up making the cream cheese frosting lumpy.