Il va sans dire belongs to a rather formal level of speech, that is probably the reason why you have not come across it yet in day-day-interactions with native speakers. More frequent turns of phrase would use évidemment, c’est évident, bien entendu, cela va de soi, etc.

Il va sans dire (or Cela va sans dire which I personally prefer) means It is implicit, There is no need to say it.