Sometimes, refrigeration is to keep bacteria in high-protein, raw foods from growing to hazardous levels. Sometimes, it's so foods last longer. I don't know what it is with the particular cheese, but you can normally store hard and partially hard cheese at room temp, and what eventually happens is it gets hairy, can break down and oxidize (which is what causes rancidity). Soft cheese can be dangerous. If the shells aren't cracked, eggs just last longer when refrigerated.

Anchovy Jello definitely sounds weird.