Now I'm not a lady, but I can give you some input based on the ladies I've dated.
For some it seems to be a big deal, but this really depends on the lady you're dating. If you're dating a lady who LOVES to dance, you need to dance with her. Now, you don't really have to be GOOD at dancing, you just have to be willing. I can give some examples.
My ex was super in to dancing and always wanted me to dance with her. This is no problem for me. Honestly, I'm probably the worst dancer there is, but I still get down and have no problem making an ass of myself and dancing.
My current girlfriend is the opposite. She NEVER wants to dance, and I feel like I have to try to make HER dance, since I'm a dancer. It's okay with me though, I have no problem dancing alone or with random strangers. But yeah, depends on the woman.