We've gotten a lot of mixed opinions. I believe the following is the MINIMUM mathematical rigour requirement of all physicists who use mathematical tools on a regular basis:
A physicist needs not study the proofs of mathematical theorems that he uses, but he MUST be able to (better yet, actually do it) prove the basic properties of each mathematical tool that he uses.
For example, if a physicist uses Lie groups, he must be able to prove that GL(n,R), C-{0}, products of Lie groups, etc... are indeed Lie groups. If he uses homotopic functions, he must know how to prove that homotopic functions form equivalence classes, that compositions of homotopic functions are homotopic, that the fundamental group is in fact a group under composition of homotopy equivalence classes, etc...
These elementary results are not difficult and by being able to prove them, the physicist will get a stronger feel for what the mathematical tool really is and how it works. This is the minimum proving requirement for physicists in my opinion, and such basic proving skills will make the physicist better in his usage of the mathematical tools.