Yes, you should learn the basics of how Windows (a lot of this stuff predates Win32) operates. Why? For the same reason as I understand how a mortise and tenon joint operates, even though I don't make my own furniture, or why I understand how an internal combustion engine works even though I don't do my own car maintenance.
You work at a higher level of abstraction, which is nice, but when that abstraction leaks - that's not an "if", that's a "when" - if you don't understand the basics of Windows, you'll be lost. If you don't know at least some of the API, you won't have a clue where to look if you need to P/Invoke functionality not available in .Net.
Quite apart from that, isn't curiousity reason enough?
