You're mixing up things.
Rockbox Utility installs Rockbox. If you build Rockbox yourself you have to install your build manually. Rockbox Utility only installs the official builds from the official download site. Rockbox Utility does not contains any plugins. Some plugins require additional data files, and Rockbox Utility can install those though.
Rockbox contains all plugins available for your player. If you build Rockbox yourself you obviously can leave out plugins as you wish, but since they only require a small amount of space on the disk there usually isn't much point in doing so.
And if you ask me, "must-have" plugins: none, not even the included ones.