What are the principal advantages of creating a conceptual design model using masses before diving into the detailed design and building element modeling?

The principal advantages of creating a conceptual design model using masses before creating a detailed design is that it allows you to create and shape your ideas without much work. From there you can easily manipulate the mass and divide it into floors to get a clear idea of how much floor area you'll have. Again, you can easily stretch or shrink the mass to get the square footage you need. After the shape is is set you can easily click and add walls, floors, and roofs. It's much easier to build down than up especially with a large scale building.

Should all buildings be modeled first using conceptual masses?

It's appropriate well designing a large scale building, a house is much simpler and smaller that it doesn't require or make sense to create a conceptual mass model of the house. That being said, if the house is abstract and curvaceous then maybe it would be best to start with a conceptual model. The same goes for large buildings of odd shapes.

Can you think of any examples of a real building around the world that most likely was created by exploring the form using conceptual mass models?

Galaxy SOHO by Zaha Hadid