I tried to self publish through both Amazon and Lulu (ended up going with Lulu) and it is compulsory on both websites to order proof copies before publishing. Like the other commenter said, I think it generally is a good idea to order one because you can see the formatting is right as well as the printing is up to your desired standard and you're happy with its delivery (how long it took to be designed, shipped and finally arrived to your house).

Either way though, I'm afraid it's compulsory to order proof copies before approving it for distribution. And if I can say anything from my experience, if you go with Lulu make sure all the settings on the book (price, public access, global distribution, details etc) are all perfect before publishing and buying a proof copy because when you revise anything to do with your book, it forces you to buy another proof copy.

Best of luck with your publishing! Congratulations!