Do I need to manually go to each section and make sure I have 'visited all', even if some of them don't apply to me, or am I OK to just skip them?

Yes, you do not have to click on and go through every section, it is okay to skip over the sections that you know do not apply to you.  Many sections have 'Learn More' or 'More Info' links that will give you a quick synopsis of what the section is covering.    It is better to cover something that is not needed than it is to skip a section that you should visit.  So, just go through the sections carefully, but you can always skip any section that does not apply to you.   For example, if you know that you are not going to itemize deductions, you do not need to visit those sections.   

If you have a 1095-A, make sure that you do visit the health insurance section.