IMO, I think all shows should do it.
Once in a while you will get a show that gets it right on the first time out and don't require a out of town try out (Book of Mormon)
But most shows, I think, need that audience reaction and critical analysis before they head to NYC. What could it hurt? Of course it comes down to the creative team making the RIGHT choices and learning what works and doesn't work and remove/add the right stuff. Most shows I think do this very well and come out better on the other side (WICKED is an example. I know it gets a lot of hate on here but I personally think the show was strong in SF but even stronger here, but I digress.)
The only show I can think of that clunked hard after their out of town(s)recently is WONDERLAND. They just made almost all the wrong decisions.
"Life in theater is give and take...but you need to be ready to give more then you take..."