Well i didn't know that also. But one officer told me i need to do just that, when he evaluated my application and saw that i am married to a foreign national. But When i renewed my passport yesterday, they didn't even ask me for that cfo certificate!
I guess it's ok. Since that's one of the requirements before leaving the country. I remember this lady from the seminar the other day. She was supposed to be leaving the night before, but she was stopped and to her dismay, she was told she needs to attend a cfo seminar first. No one told her when she got her visa approved, until that day on her departure!