In my experience (pilot), I have never been required to physically overfly a VOR station when joining an airway commencing at a VOR located at my departure airport. Normally I've been given either a SID (which usually intercepts an outbound radial eventually), or a visual departure. In Australia, when on a visual departure there is a requirement to intercept the cleared route within 5 miles, unless ATC prescribe otherwise. I'm not sure of the requirements elsewhere.