Firstly, I don't think there is such a thing as a 'silly question'. If you don't know, you need to ask. Lecture over.
One of the problems is that the modem is connected to the telephone line, which, of course, can easily surge in the event of a storm, frying your modem, and potentially your entire system. So long as your modem is connected through the surge protection, its should be safe - you will normally find that the device comes with insurance against failure. So far as the other devices are concerned, unless you unplug at the mains, you still have the connection to earth and, so I understand, surge protection is still essential. The device itself does not need power to operate.