As a matter of respect it is the right thing to do. It's not like you deal with this every day and it's not like it is going to take more than a minute or two of your time to pull over, show some respect, and allow the procession to proceed.
On a legal note, laws will vary from state to state. Here in IL the lead car is the only one required to stop at stop signs, lights etc. After the lead car clears the rest of the cars in the procession have the right of way and may proceed without stopping as long as they excercise due caution. If escorted by a police officer that officer will make the determination whether it is safe to proceed through stop signs etc without stopping.
On that I have been in several where the drivers of vehicles in the procession also don't know the laws and that creates a mess. Of course if the vehicles in the procession leave too much of a gap they open themselves up for other motorists, who don't feel they need to show respect, to cut in, turn, etc, or otherwise disrupt the procession.
Always good to know your state and local laws on these.