I think generally, having a fellowship program in a particular field is not a must have by any stretch of the imagination. However, the volume of patients a service manages is important no matter what. But otherwise there can be other things about a residency program that would trump having a fellowship program in your desired specialty.
For example, if you were interested in ER, you might prefer a program in which there was LOTS of ER, and you got experience there starting in your intern year. Regardless of whether there was a fellowship or not, a program in which during the intern year alone you could expect 40-50 ER shifts would probably be preferable to one in which the only ED experience you got was one month in each of the last two years with each month only having 10 ER shifts and 5 urgent care center shifts (real examples from my residency program vs my home medical school's peds residency).
The other major word of advice is to see how fellows fit into the educational mission of the hospital and the residency program. As mentioned some places are geared towards making the fellows the focus, while others focus on the residents (though even within the same hospital, there can be differences between departments). In some places, fellows are responsible for the decisions and the residents are left to cover the scut. In other places, the fellows are there and essentially act like mini-consultants for the residents - they're there to answer questions from the interns and handle the higher level considerations (like chemo protocols in the heme/onc patients). Finding a program where the residents say they like the fellows will tell you all you need to know.