Yes it is a must. I just went through the medical in Helsinki, it was very simple, but you do need to have all the vacciness up to date, they were very strict about it. You need to have all the vacciness printed out from "omakanta", or if you still have the old "neuvolakortti", you can have that too.
I had one vaccine that i needed to take in the medical exam, and it was quite expensive to add on it, so i recommend to have everything ready before the medical exam. But yeah it's mandatory to everyone who applies visa in US.