Should the plastic walls of a shower kit have air bubbles?
Proper shower systems should have a lip behind the base. Better systems apparently also have a gasket. So, in theory, no you don't need to caulk them. Bad ascii diagram:

 ++  +
 ||  | &lt;----+ bottom of wall panel
 |+--+
 +---+
     | &lt;----+ shower pan
     |
     +--------------------------------+


The idea is that any water that gets behind would shed down the lip and into the shower pan.

The catch is a) I'm not sure all shower systems are this well engineered and b) showers are more than water...there is dirt, grime, soap, hair, dead skin, other nasty body and soap residue. So, yea, it will still get grimy and is why most people still caulk it.