I've heard pro and con arguments from it. It's not neccesary to do so and again I have no numbers of department sponsored folk to compare in order to see how common or uncommon it is.
competitive to get hired after the academy is done maybe, but luckily the state has a program that will pay for the academy if you self-sponsor. It was a pretty recent addition as far as programs go, and I'm assuming they did it to help departments so they 'did not' have to pay for training, and have the people leave them within a year or so to go elsewhere.
pro- department doesn't have to pay for it, especially since the state is in a 'budget crisis'
con- you don't actually have a job.
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