You're talking about the SET_CONFIGURATION request being sent by the host right?
Only in cases where there are alternate settings I've seen hosts send this particular request. Some hosts don't send this request for some reason. Most hosts do that even if there are no alternate settings.
But in the application code/driver that I have written, I always try to make sure I do a set configuration to make sure my device is correctly enabled. This is probably working since this is config 0 and not a config 1 or something.