I have worked at a startup, joined the founding team of a startup, as well as consulted at a VC before. IMHO, I don't feel that it is a pre-requisite to work at one first. Though there are spirits a successful founder needs to have, but "working" at a startup is completely different from "owning" it. The mindset, pressure, things to handle, are at totally different levels for the founder. And that's not necessary being gained/build by working at a startup.