The reason you need the coloured cables is the dongles usually only have 1 connector pin connected to the USB output within the dongle. This pin is the one that connects to the engine data pin on the car so you only get access to engine stuff by default. The coloured cables simply connect the dongle "engine" pin to the correct car connector pins for the ABS, Airbag etc by cross wiring as required for the different data feeds on the car OBD connector.
The alternative way to get the dongle to connect to systems other than the engine, which avoids using the coloured cables, is to simply open up the dongle and connect wires from the relevant pins on the dongle connector to the internal connection to the engine data pin. It describes how to do this on the MultiECUscan site somewhere. You can connect some systems this way without having to break the engine pin connection but with other systems you need to break the engine pin connection or it causes problems, so switches need to be wired in. Probably easier for most people to stick to using the coloured cables for this reason.