If it's a metal box, technically, the grounding conductor should be connected to it (NEC 2011 250.148(C)). However, if you've already installed the fixture without bonding it, it's not likely to cause a problem. If the fixture itself is properly grounded, and the canopy completely covers the box. It's not likely anybody will ever come into contact with the box itself during normal operation, and so the danger is relatively low.
In most cases, the box and fixture become bonded when the fixture is installed. As long as one of the two are grounded, there shouldn't be a problem. Code bodies and safety experts say to bond both the fixture and the box, because there's no way for them to be sure that a fixture will properly bond during installation. The fixture design likely is not governed by the same code body that governs the installation of the box, and the installation of said fixture may be completed by an untrained person. So the code body calls for everything to be grounded, to try and limit the potential dangers. They also want to avoid the situation where the continuity of the grounding conductor can be interrupted by the removal of a device or fixture (NEC 250.148(B)).
Nonmetallic boxes are not required to be grounded. Only the devices, and/or fixtures installed in them must be grounded (NEC 2011 250.148(D)).
National Electrical Code 2011
250 Grounding and Bonding
VII. Methods of Equipment Grounding
250.148 Continuity and Attachment of Equipment Grounding Conductors to Boxes. Where circuit conductors are spliced within a box, or terminated on equipment within or supported by a box, any equipment grounding conductor(s) associated with those circuit conductors shall be connected within the box or to the box with devices suitable for the use in accordance with 250.148(A) through (E).
(A) Connections. Connections and splices shall be made in accordance with 110.14(B) except that insulation shall not be required.
(B) Grounding Continuity. The arrangement of grounding connections shall be such that the disconnection or the removal of a receptacle, luminaire, or other device fed from the box does not interfere with or interrupt the grounding continuity.
(C) Metal Boxes. A connection shall be made between the one or more equipment grounding conductors and a metal box by means of a grounding screw that shall be used for no other purpose, equipment listed for grounding, or a listed grounding device.
(D) Nonmetallic Boxes. One or more equipment grounding conductors brought into a nonmetallic outlet box shall be arranged such that a connection can be made to any fitting or device in that box requiring grounding.
(E) Solder. Connections depending solely on solder shall not be used.