Aura is the underlying runtime for Lightning. As in, all of it, LWC and "Aura Components" alike. If you check out this post, you'll see this graphic:
The blue area represents the Aura framework, and the orange is the browser's native API and standards.
aura_prod.js is the Aura framework, and is absolutely required to do anything with Lightning. Both Aura and LWC depends on this file to make anything happen.
The other two are required to provide a container for for the components to operate in. They are not loaded in Salesforce itself, because we get
one.app instead. All components need to live in an "app", which Salesforce provides, but Lightning Out doesn't have an app by default, so it needs those scripts to provide a container.