Other than the fact that upon extraction MXF clips are neatly laid out whereas the MP4s are still all in their individual folders what's the need for the conversion? I do realize its probably just a container issue and there is no generation loss, but why do it in the first place? Its not like Vegas can't run MP4 files, and we're all going to end up rendering MP4s anyway. So what's the deal? Am I missing something here?

It is necessary to convert .mp4 to .mxf for Vegas v8.x or older. All newer versions of Vegas can work directly with a .mp4 files form EX cameras. You can use Device Explorer, if You don't like multiple folders in SxS card.