Why don’t the modular parts have any collision?

Collision for a game is very particular to each specific game based on its needs. Some games don’t require collision at all, while some will need precise detailing. The modular parts are used in combination to create a grand piece. Sometimes that results in 1 story building, other times it could be a 1 block radius 200 story megastructure. If the collision was built directly into the parts, you could be dealing with thousands of collision meshes that aren’t necessary. It would be advised to create your own collision for your needs.

How do I make my own custom buildings as 1 mesh?

Creating modular buildings inside Unity has its benefits(like occluding the models), but it also has its drawbacks(draw calls). The fbx files are provided in the package, and are able to create your own custom 1 meshed building in a 3rd party 3d software of your choice. There is additional documentation on achieving this in the Breakdown/Building section.

Can I mix and match building styles to create my own hybrid?

You can play with the assets to your hearts desire. But the intention was to have 1 building styles modular parts to fit those parts specifically, if they happen to snap perfectly with other building styles, thats awesome, but again it was not the intention. You can however mix and match building materials like bricks and concretes to create a wide range of styles.