It depends on your camera and when updates are released. The point of the dock is to allow the firmware of the lens to be updated to support newer cameras and camera firmware updates. If the lens works just fine, you may never need the USB dock, but if an update to your camera comes out or Sigma discovers minor flaws in the lens firmware that need updating, then you will need the USB dock to apply the updates.
The reason that updates may be needed is that the lens and camera communicate with each other to make sure that images are captured correctly. The camera manufacturers don't disclose their protocols and don't pay attention to the needs of third party lens makers when making design decisions, so the third party companies have to work around that by reverse engineering and making their lenses respond in the way the camera expects.
If they either made an error in reverse engineering or your camera is updated to expect things slightly differently, then the lens may either stop working entirely or simply have a reduced level of functionality or speed. That's when the third party lens maker would normally release a new firmware to correct the issues.