Z-order is the depth of a sprite relative to other sprites; sprites with higher Z-order values appear to be on top of sprites with lower Z-order values. You only need Z-order when two or more sprites overlap each other, which is in most games .
Q2:
Why bother with the different types of collision detection?
A2:
The different types of collision detection (rectangle, shrunken rectangle, and image data) provide different trade-offs in regard to performance and accuracy. Rectangle and shrunken rectangle collision detection provide a very high-performance solution, but with moderate to poor accuracy. Image data collision detection is perfect when it comes to accuracy, but it can bring your game to its knees in the performance department.