If you need them or not depends entirely on what you're doing with your dungeon. If you have a dungeon you're happy with then it's all good. I'll give a brief description of each so you'll have a better idea of what they're for. The coloured boxes are "Editor Markers" that allow you to see and move an object in the CS if it has no physical body to grab. Beth colour coded them to make it easier to tell at a glance what kind of object it was.
Green Boxes: Trigger Zones. Trigger Zones react invisibly to the player (or anyone else, or even an arrow or fireball) passing through them. This can be very usefull for setting up traps or timed fights. With a script you control what happens when the player passes through the TZ. For exampe you have a disabled creature in the hallway, 6' further along place a TZ that enables the monster, and you're guaranteed it will show up behind the player. The uses for these are virtualy infinite, very handy. The OnTrigger block of a script attached to the TZ fires when something enters the TZ. The wiki has a good description of this block and how it works.
YellowBoxes: Collision Boxes. Just an invisible solid wall. You can use these to block off a passage keeping the player out or badguys in untill you want them to move. Just disable it via script when you want whatever you were blocking to be able to progress. You can also use them to create an invisible bridge the player can walk on but not see, if you want to create a "Leap of faith" type scenario. If you're really evil place a TZ halfway across with a script that diasables the Collision Box the player is standing on, and watch them tumble into the lava below.
Orange Boxes: These are usualy special effects of some kind, for the most part you can preview them in the CS by clicking the Havok button on your toolbar, when looking at one in the render window. (the Havok button enables "Idle" animation as well as Havok physics)
Red Boxes: The effective area of traps that don't rely on physics (like a mace hitting you in the face).
Play around and post any questions you run into.
Good Luck,
WT.