By using callbacks, you will be able to activate visual responses, mechanics, and so on according to auditory cues. The integration of callbacks is a fairly advanced part of integrating audio; but, once you get the hang of it, you will be able to influence anything in the game based on audio, thereby creating a more cohesive experience for the player. Using a component or making your own script are both valid methods of enabling callbacks, but you will definitely benefit from being able to perform both.