I am not sure if I understand the question, which makes answering it a bit risky. Basically MIDI is just a means of creating a set of instructions that tell a device what note to play and for how long. In this sense it is just like a paper roll in a pianola.
However, midi does more than that. It can also provide instructions on other aspects of performance (tempo, volume and so on). Additionally, it can tell the device what instrument to play. These instructions are referred as control changes.
If they are stored along with the note information in a midi file, everytime you load it up you will get the correct settings for the song applied to the device. If they are not stored in the midi file, then you have to recreate the settings each time you load the song. That's why they are important.
There are control settings that I like to save (such as the program and the panning), and others I don't (such as level, because I like to change my mind a lot).