You don't have to wash new sheets before using them.
But washing new sheets before using them is a great idea to remove the chemical treatments that are placed on the fabric during manufacture process.
So you'll feel much better having the new sheets washed before you put them on your bed and it prevents those chemicals from getting onto your skin when you crawl into bed.
The sheets will feel much better and fresher as well and the chemicals will be removed from the sheets.
So it's recommended to wash the new sheets before you use them just to get rid of the chemicals but you do not have to wash the new sheets before using them if you don't want too.