They are made to encourage people to run the game.

Stages 2-4 won't use Piccolo because you could just Overlevel him on the first stage and just break them, which is no fun.

Stages 5 and 6 won't have separate categories due to the same reason plus the fact that if you will do stages 5 and 6, you might as well do Any%.

Also recommend using save states to set up the 2 characters you'll use for stages 2-4. Have fun. :)