I sat through a real analysis class around a year ago and in about two days we partially covered the construction of the real numbers as equivalence classes of Cauchy sequences. Through the teacher didn't do it, it took me about $9$ hours to read and then write out the entire construction in a way I understood it, starting from $\mathbb{N}$. Most of the process was laborious verification of algebraic manipulations and just checking certain things were satisfiable. Despite doing all of that, I don't think I gained any particularly new insights, it was just a lot of work.
At what point should you not verify something? What if you can see there is a proof of it, and you see all the proof requires is verifying a huge amount of algebraic manipulations? In this case even if you go through and check the proof you can be positive manipulating algebraic expressions won't teach you anything new. So then why bother? Where does one draw the line saying "I should read a proof of this" vs "there isn't anything to be gained here"?
You think you didn't get any particular new insights. This is probably true for the present, but no longer true for the future. When you will learn about the completion of a metric space using Cauchy sequences, you will just know the contruction already. And if go further on to study the completion of a uniform space using Cauchy filters, you will be pleased to see this is an abstract version of the construction on which you spent 9 hours.
Conclusion. The answer to your question heavily depends on your goals. If you just want to pass an exam and then forget about math, you probably don't need to worry about any single proof. Now if you want to become a mathematician, going deeper is a good idea in the long run.