I find that in not pressing block assembly seams, they nest easier and I don't have to deal with the times when the seam is pressed in the wrong direction to nest so I have to try to unpress it and get it to go the other way.
I do always press HSTs and such before assembling them into a block. I also always press each block before sewing the rows together. So really, the only thing I don't press are the seams that will need to nest with another.