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 are that it's extremely easy to change the building shape and dimensions using a building mass. This saves a lot of time in modeling, and can be a good way to quickly create 3D models to show clients and developers as the design evolves.

Should all buildings be modeled first using conceptual masses?

It doesn't hurt to model buildings first as a conceptual mass; I would not say that it's absolutely necessary for one-story buildings or small sheds, but it's needed with larger (3 or more floors) and I would recommend it for even two-story buildings, or structures that are supposed to be symbolis in any way. In the case where the design form is still very new and not set in stone, the building should be modeled first using a conceptual mass. To summarize, I would recommend using a conceptual mass for all buildings over 1 story or with complex shapes, but one might be able to get away with it up to 3-story buildings.