No you don't have to use all three. They come in 3 different lengths so you get can different magnification setups. You can use 1, 2 or all 3 of them together.
The length markings are not 'focal lengths'. They are physical lengths of each tube. Optics theory says you get 1:1 magnification when you are at 2f or 2 x focal length. So extending a 28mm lens by 28mm will give you 1:1 magnification (with the lens focused at infinity). Extending it more will increase the magnification, reducing extension will reduce magnification. Increasing magnification also results in a smaller effective aperture, darker screen image, perhaps leading to AF issues.
The same question in two diffrent threads? Please don't cross post
Equipment specific questions (Sony) are best asked in the respective equipment forums.