This is typical for installs where you don't have a full Python installation. This is not a problem with the majority of Blender scripts (Note: There was an error in the 2.44 build where several python modules that are normally included were left out, which caused MANY of the scripts to not run -- but this has been fixed in the 2.45 build that just came out).
So unless you find a script you really need/want that requires it, a full Python install is not necessary. However if you want the those last few lines of the output to change to "Python found" (or something like that -- I don't have a full Python install so I don't really know what it would say) then you can install it.
I would recommend against the full install if you are going to write Python scripts for Blender as many people don't have the full Python install and the desire is to not require one for a script to run.