While I'm not totally clear on the exact nature of HelpKey, it does seem to provide a more robust way of navigating the display tree than doing something like window["Fit Least Squares"] because if someone has a different language setting and runs your script, that outline box is not going to be named "Fit Least Squares" anymore. But, HelpKey does not change with the language setting. Typically, I have seen people selecting a display box using HelpKey with Xpath().
The colors seem to be a logical indicator if the box is open/closed for outline boxes or hidden/shown for if boxes.
I'm sure others on this forum, especially the developers, will have much more precise information about these 2 things.