I wondered the same thing when I clayed our family van the other day. It had NEVER been clayed.
I wouldn't say it is absolutely necessary, but if you're going to polish the car afterwards and use further abrasive techniques, washing twice might not be a bad idea.
Just give it another wipe down with the QD to remove the lube residue and any clay residue. Washing again is kind of a waste of time and product, IMO. Just don't let the lube dry on the paint and there shouldn't be any problems.