Hello Nowotarsky34, thanks for contacting us through the Intel Communities.
I would like to explain you that the Intel® Management Engine Interface provides particular features that let the operating system interacting with the BIOS. The functionality of the board doesn’t depend on this feature but it is important to have it active so Windows will be able to detect all of the motherboard hardware properly.
If you install the Intel(R) Desktop Utilities, this software requires the Intel® Management Engine Interface driver to get the information from the bios.
In simple words, your system will run fine if you don't install the Intel® Management Engine Interface, but it won't hurt your system if you have it installed.
Regarding the VGA driver, I would recommend installing the graphics driver instead. The latest graphics driver available for the HD4400 is version 3621
Since you have an MSI motherboard, you may need to perform a manual, see here for instructions: