MC supports MP4 files in a number of different ways (including via Quicktime or via DirectShow filters). If you don't have appropriate DirectShow filters, your use of many MPEG-4 file types will be limited to what is possible using the Quicktime engine. This includes no thumbnails, detailed file analysis, no visualizations (for audio-only MP4 files), and other side-effects. It is likely that you are using either Quicktime engine for MPEG-4 playback, or the built-in MPEG-4 filters in Windows 7 (if you happen to be on Windows 7). Both of these options work, but provide only base-level capabilities.
The best way to handle MPEG-4 playback is via DirectShow. However, this requires additional software. I agree that you shouldn't go installing filters willy-nilly. However, CCCP installs only a very base level of filters that really work well together without causing any issues. If you want to do it yourself, the actual filters you need for MPEG-4 playback support are:
Haali Media Splitter (or another MPEG-4 source filter, Haali's is generally considered the best, though there are other options)
FFDSHOW
VSFilter (for subtitle support if you need it)
You can certainly download and install each of these manually and configure them yourself. However, finding the proper builds of each of these filters that work well together, and getting them all configured properly can be very challenging. That's why we often recommend CCCP because it (1) tries to "do no harm" and (2) supports the most common playback types in a way that works well for most people.