For the Mini Set, the difference in tip length is simply personal preference. Some people prefer longer tips and others prefer shorter. For the Small and Large Sets, the 4" tip length is needed to make 16" circulars for knitting hats, cowls, etc. in the round.
The sets do not come with instructions. For the Mini Sets: Screw tip onto cable. Insert a tightening key (shaped like a T-pin) into the hole on the cable. Grip the needle tip with the rubber gripper (red heart) and use the tightening key to turn the entire cable around (turn it like a wrench turning a bolt and not like a key in a lock). This will securely tighten the connection between cable and tip.
For the other parts: Cable connectors are tic-tac sized metal pieces with a screw on each end. They are used to connect 2 or more cables together to make a custom cable length. End stoppers (red rectangles with screw sticking out) are used when you need to take the needle tips off of a project and don't want the project to slip off the cable.