As I recall, you could copy your licenses from GT1 to GT2, so you didn't have to earn them again.
In GT4 especially, it would probably end up more a hinderance than a help. The licenses aren't just there for kicks, they're there to teach you the game and how to drive the cars. Since GT4 has a completely new physics engine, I wouldn't want to bypass a thing, so I can figure out how to drive. Just driving a Prius around Fuji, it's easy to tell there's been a complete overhaul, it handles nothing like any car from GT3. So if you were to bypass all the learning steps, it'd take you that much longer to figure out how to actually drive a car.