Win32 API is simply an interface one uses to natively hook up one's game into the infrastructure of Windows. Managing the application handler, creating windows pertaining to your application/game and registering with the system.
This is what most indie game developers deem as boilerplate code, the bare minimum that has to be done on a specific platform in order to get your relevant code up and running. After you've done that, your code becomes game specific. Mostly you won't tie into Win32 for your GUI needs because you'll have something of your own cooked up. Or perhaps, someone else's solution.
While knowledge of Win32 is useful if you wish to write some hardcore native tools that will wrap around your game engine's content editing environment, you'll most likely find indie developers coding wrappers in a more forthcoming environment, like .NET's C# which makes Windows GUI development a breeze. But that will make your code on Windows dependent on .NET frameworks which forces users to download it, so if that irritates you, you might run back to Win32 and doing a little bit more boilerplate code in return for which you'll gain some sweet nativeness.
It is logical to keep your game code (and that includes everything, from low-level rendering to high-level game logic) separated from platform-specific code. That will open porting opportunities and many other sweet things. Not to mention the ease of development which comes from abstracting away the boilerplate and concentrating on what matters - the game.
In that respect, many choose SDL (and thus OpenGL) to do their boilerplate. And some simply enjoy the challenge of extended understanding and getting the most out of every platform. Remember, the easier it gets, the more conformed you are to a given platform.
"By using the technology of the mass relays, your society develops along the paths we desire" - Sovereign, Mass Effect
Applies here. So, it is not mandatory to know Win32. But it's nice. However, with today's many platforms and available runtime-managed solutions which tie in with OS-included tools for application development, it would be a shame not to utilize the offerings.