Hello, please read the answer I have just posted now to maxfreeman13, his post is two days before yours, and it is probably the same question. Hope this will help you.
They are separated, you do not need them to play, and you do not need the game active to watch them. There are also separate short stories for Halloween or Christmas. Personally, I have created a directory in my computer and I have stored all these files inside. Most of these files are available only if you accept to pay something for the game, so I guess that you must keep them only for your private usage and never copy them to other guys. It will help Luriel :-) But if you don't download them, do not worry, your game will play well anyway.