Material certification is needed when you're building things for customers who require positive knowledge that the materials will hold for what they're designed for. As far as I understand it, if the material were to be sub-spec, people could die, hence getting the certification comes with a certain amount of liability, and thus costs a lot. Also, the certification likely allows you to track everything about the material, back to when it was a simple rock in the ground, which is sometimes useful for analysis purposes.
"Mill" finish is the finish that comes out of the big stamping/rolling/pressing machines they use at the mill to manufacture the material. It is overall pretty flat, but it is matte in color because it has long "lines" running lengthwise, or if you cut it cross-wise, you will see a small waviness across the top. The depth is usually negligible, but if you want that "shiny metal" look you will have to mill or polish it with high-finish tools. If you don't want it polished, but instead want to paint/powdercoat it, you will want to sandblast it. Or just use it the way it is if surface finish isn't a top priority. (This is what I do)
There's also something called "mill scale" which steel materials may have, which comes from the heat involved in the forging or tempering process. You don't want this on your steel, as it will get in the way of welding and working it; it has to be removed (sandblasted or acid pickled.) If you get cold rolled steel, it's usually not a problem, and it's not a problem on aluminum or plastic.