Just what the titles says, do I need to download the patches for Oblivion/Shivering Isles/Knights of the Nine with the 5th Anniversary Edition or are they packaged with the game?

idk, but just install the patch anyway, it wont take long and you have nothing to lose.

Looks like I don't need them. I tried to install one and it said that a file with the same name was found.

Nope, just the unofficial is all you need.