Some skaters sharpen every day, some go a year between sharpenings. Even the various edge shape parameters, such as radius of hollow, are very much a matter of taste.
I don't know the details, but people have said that figure skating judges are taught to mark down skids, and to favor clean narrow blade tracings and high speed over the ice. Sharpening can help with those. Major imperfections in edges that interfere with balance can be fixed by sharpening. But good skating technique helps all these things too. And the jump video ISk8NYC posted at
http://skatingforums.com/index.php/topic,901.0.html clearly shows that even very good skaters skid on some moves.
So talking to your coach is a good idea.
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I didn't take AgnesNitt's bait because using a hand tools to remove nicks isn't going to produce a significantly different result than using a professional sharpening machine to do the same thing, unless there is something clever I haven't thought of (quite possible). I sharpen my own blades because it is fun, and lets me control and experiment with the edges. It also saves me time and money in the long run. But a first rate professional sharpener can do the job just fine.
Hockey skate sharpeners often remove enough metal (and therefore blade lifetime) to remove all nicks and gouges. But most hockey blades are cheaper, and good sharpeners can complete retain the blade profile. Good figure blades are expensive. Even if the sharpener modifies the toepick in the best possible way, it is going to behave a little differently, after metal is removed. So I personally think removing all minor nicks on figure blades is a sign of a sharpener to be avoided.