the 24-pin connector includes the wire needed to turn on the power supply. (the board shorts the wire) if you don't plug in the 24-pin connector the power supply stays off.
the 24-pin carries 12v power and also carries 5v power... the 5v is not connected to anything, and only the 12 power is used.
the reason for connecting all of the 4-pin connectors with the 24-pin is to distribute the power across many wires to prevent overheating the wires and also the traces on the board.
when I have everything put together in the yard, and I have lots of lights connected I DO connect all of the wires.
when I am doing bench testing and doing demos, I will connect only the 24-pin -- I don't connect a lot of lights and don't drive the power supply or hub with much power draw.
btw... when I connect all of the 4-pin connectors, i try to use connectors that use separate wires back to the power supply. if i pick connectors that share a common wire, i am not distributing the load as much as if i use separate wires.