There are not CHD's for games that dont need them, only for games that do. However there are a lot of CHD's in the pack for games that MAME can not currently emulate, but have been dumped and are ready for use when MAME is able to emulate those games in the future. The list you see above is all the games that also need a CHD file to run, but as i said a lot of those simply do not work in MAME as of yet (and that list is using data from MAME 0.201 and the current release is 0.206 so that list may of changed slightly since). CHD's go in the rom folder along side the normal game zips, or anywhere you like really as long as you tell MAME where they are located.
The vast majority of games in MAME do not need a CHD at all and will work just fine with the 60GB pack you downloaded. CHD's are essentially CD Disc images using the CHD format of compression (Compressed Hunks of Data=CHD) and are used on the more recent arcade systems MAME can emulate for the most part, like CPS3 games like Street Fighter 3 and it's sequels, and there are also some older games that need CHD's also like the Killer Instinct games.