I read something recently, might have been in GASIL which said that there was a strong link between PPLs/ students not checking their DI against the compass and them getting lost and calling D+D.
So its definitely worth bringing this subject up.
It is extremely important to check it as often as you can. I was once told that if you were flying IFR and you weren't doing anything then something was up!
There is always something you can do.
But VFR, if you are using that same DI as your main reference then if its 20 degrees off and you fly on the heading for half an hour without checking it against the compass, just think how far off course you are going to get. It has been the cause of many light aircraft flying into places like Stansted and Heathrow zones.
So yes, check it regularly. Its worth asking your instructor to explain more about it. Don't ever think you have a question that is stupid, the only question that is stupid is the one you didn't ask.