IIRC, my DS's pump also puts a reminder on the screen as he's doing a site change, to make sure that he primes. However, I know he forgot to prime somehoe during a site change once. Since priming fills the canula and/or the tubing.... If you skip the canula priming part you will have a gap in insulin delivery, like when there's a bubble in the tubing, so you may have temporarily high bg. If you skin priming the tubing, disconnect from pump site and try to do a manual prime if the pump will let you (sometimes will not let you if you aren't in "site change" mode), otherwise, just disconnect and do huge bolus until you see insulin drops where tubing would connect to site -- again, make sure you are disconnected from site *before* doing this.
priming is like calibrating, if you don't prime the machine may not work right. you will notice if it's working correctly or not according to your sugar results. I wear a pump and if I don't follow the machine's instructions it won't work so I can not skip priming. maybe yor pump is different.