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.