An often debated topic in the music instruction community. Do I have to learn everything in all 12 keys? The easy answer is "no". The more standards you learn, the more you will see that they generally use the "horn" keys. C,F,Bb,Eb,Ab..... So a happy medium to "all 12 keys" is to start with those. I'm going to go ahead and embarrassingly admit that I have finally conquered the "Another You" 5 position study lesson. Between that one and the Autumn Leaves, I have those two forms under my fingers to where I can play the chords in all 5 positions. I admit I still need some work on some of the chord scales. The Lydian Dominant is still slow to grab in all positions.
What you will notice when you practice these positions, is that the one that is the highest up on the neck is a little challenging, due to the frets being so close together. I figured this would be the perfect opportunity for me to force myself to start learning the different keys, and in doing so, moving the positions around to where they are more comfortable (or not...depending on the key). The first thing I noticed is that I was so comfortable playing the progression in one key, I was inclined to cheat and just rely on muscle memory in moving my left hand a fret or two in each direction and finding the right grip. It works, but I knew it would get me in trouble if I didn't make the connection to the actual chord I was playing and it's relation to the tonic.
Barry talks about "games" in the context of mental challenges to absorb material. I decided that a great way to learn this material was to think of each key, and all of the different types of harmony you find in standards (or at least the majority of them). In other words, start with C Major. Be able to recite the 2-5-1, 2-5 to the 6, 2-5 to the 4, dominant 4, dominant 2, turnaround. Once you have that, move to F, Bb, Eb, Ab....etc. Hopefully with practice you can listen to a tune and unless you have perfect pitch, you can imagine the progression in any key and name the chords in real time.
The falls under the category of "if you take the time and effort to master this, you only have to do it once and it will really put you in a better position to be able to transpose"
I know this was long, so for the tl/dr crowd - Kurt thinks that it's worth the time and effort to learn tunes in all 12 keys.