Should you wait for setting spray to dry?

I'm curious, should one really wait for setting spray to dry completely before moving on to the next step in their makeup routine? I've heard differing opinions on this matter, some saying it's absolutely necessary to let it dry to lock in your makeup and prevent smudging, while others claim it's just an unnecessary step that wastes time. What's your take on this? Is waiting for setting spray to dry truly necessary, or is it just a myth perpetuated by the beauty industry?