I don't think a complete understanding of quantization erorrs and its statistical properties is needed in the beginning. I guess it really depends on what you're after.
If you're just starting out you should know how to model the quantizer, how its input magnitude basically affects stability (same goes for the quantizer gain), and maybe basic dither essentials. The more you progress with your sigma delta designs the more curious you will become. You will find yourself asking more specific questions which you then can address.