No, you don't need to specifically unit-test associations, even if your goal is to completely test your application (which you should). Associations are only implementation; they exist to support behavior, and testing that behavior always fully tests the existence of the associations. Separate unit tests of the associations don't add any value.
If you're practicing test-driven development and in the middle of implementing some behavior that requires an association, you might find it helpful to write a unit test for the association, get that to pass, and return to finish the test of the behavior. I don't normally find I need this, since in Rails adding an association to existing models, or even adding a new model, is pretty simple, but some people like the support of intermediate tests. However, once the behavior was implemented I'd delete the test of the association, as I would any redundant test.
I wrote more on the usefulness of directly testing various aspects of ActiveRecord models in this answer and this answer.