The Handbook of Jewellery Techniques by Carles Codina says "After annealing, the metal acquires surface oxidation that must be eliminated with pickling acid." It goes on to say of rolling "Maintain the malleability of the metal by annealing and pickling as needed...". However, it doesn't make it clear if there are negative consequences of not pickling before rolling/hammering/drawing. I usually pickle after annealing if I'm going to run sheet through the rolling mill. Partly I'm concerned that the oxides could retain dampness and damage the rollers, and partly because I often anneal on one of my soldering charcoals and there could be small spots of glassy flux which could damage the rollers. When I'm drawing or hammering after annealing, I don't always pickle. If firestain does embed further it's less likely to be noticeable on wire or on a hammered surface.