Having more than one recorded pitch for your voicebank isn't necessary, but it helps UTAUs to sound better at wider ranges. If you pitch up a voicebank recorded at B2 to B4, it might sound a bit strained, but if you also record the voicebank at higher pitches, you can have UTAU use a sample recorded closer to the pitch you're shifting to. That was kind of a trash explanation, but I hope it made sense...
Like Teto-chan said, most people put a suffix at the end of the oto.ini entries for a pitch (but it can also be a prefix.) A multipitch UTAU should have a prefix.map file that tells UTAU when to use what pitch. You can edit this file by going to Tools>Edit prefix.map.
So an UTAU recorded at A2, C3, E3 and A3 might have a prefix.map that looks like this:
View attachment 11021
And the oto.ini files for each pitch would be aliased as [- あA2] [- あC3] [- あ3E] [- あA3].
They don't necessarily have to have each pitch in different folders--for instance, Sonata's VCCV has all of her pitches together, just with different file names for each pitch. However, most people separate pitches into their own subfolders for better organization.
I hope this was helpful!