SQL is one of the four most important skills I personally test a candidate while interviewing. Yes you no need to be stored procedure or cursor expert but you should neither have a confusion between WHERE clause and HAVING clause.
There are few reasons why at least above average SQL knowledge is important. Few of them being.
- For an overall first cut view of the raw data, you will mostly interact with a database. If you lag in SQL skills, viewing raw data as it is stored in tables at that level becomes difficult.
- Never ever, you will have a master data set ready on which you run a machine learning algorithm. This master data set need to be prepared by data scientist and to do this you will have to join multiple data sources(tables mostly). Here you need a good grasp on SQL.
- There are lot of packages, interfaces in analytics tools like R and Python which facilitate creation of a bridge between databases(may be oracle, mssql, hive etc) and analytics tool/platform. All of this will run on SQL queries for data pull and push both ways. This entire thing demand a decent SQL skill.