I don't think that's true. It's easy to set one block up in such a way that you might get output too high or low, and that can affect how subsequent blocks are going to react, especially amps, distortions, and compressors.
I do check the gain staging on each block but mostly I just do it by bypassing all the blocks, checking the level, then re-enabling them one at a time and checking everything is still in range.