You will one day wish to use the features that the connectors are used for. If you remove them, you won't be able to do that. The sleds are expensive, and buying a new one just to use the mic, tuner, or serial connectors will really irritate you. Also, there is the high probability that the player will outlast your car, and you may want the connectors for use in the next car. You also might choose to sell the player to someone else.
The power wiring is important to do correctly so that you don't ruin your speakers with amplifiers pops.