Sand is sifted because it ´throws out dirt (branches, roots, stones ...) and unifies the grain size. Grain size is especially important in plasters (etc.), where a thin layer is applied (the thinner, the finer the grain must be). But you definitely don't have to sift sand into the concrete (if it's not dirty) - on the contrary, the coarser the gravel in the concrete (proportional to the thickness of the layer), the better.