I guess there's a distinction between learning the concept of a scale and understanding how it's constructed, and doing the kind of repetitive learning exercises that get the knowledge 'into your fingers' so you can play fast using that scale.
If you want to think or communicate in traditional theory terms at all, then as the other answers have already said, knowing what the major scale is (and that it tends to be a reference point for other terminology) is essential. But again, as Timinycricket says, there's very little to learn - if you know the W-W-H-W-W-W-H pattern, you know the major scale.
But in terms of what you practice, there's no harm at all in starting with the scales you like the sound of. A lot of rock guitar books start off by teaching the blues scale on the assumption that people will want to be playing music that sounds like that, and that's absolutely fine.
Having said that, one of the aims when learning an instrument is to be able to know/hear in your mind what a note is going to sound like before you play it, and likewise, to hear a note in your mind and be able to go straight to it on the instrument. Learning various different scales will have value in building up your mental map of where all the different notes are, even if with some scales you're learning which notes to avoid in your actual playing.