Most cots convert to a toddler bed these days, so I guess that's why they include a pillowcase, for when bub is old enough to be in the bed rather than the cot.
Cot bumpers are actually a SIDS risk, but I did buy an AirMesh cot wrap. It goes around the inside of the cot like a bumper but is made from that mesh material so it is breathable, but it prevents them banging their heads against the bars of the cot/sticking arms and legs through the gaps, and unlike a cot bumper it squashes down if they stand on it so they can't use it to climb up the side of the cot.