VGA box usually just has a toggle to do regular AV connections too, in the event that the game doesn't support VGA output. The one on Amazon is just overpriced. There were a number of them produced. Similar looking one on
Racketboy's store for $44 (and a near 60 page thread related to VGA boxes in general in the Sega section of the forums).
Not all games support VGA, though you can force most of them with a boot disc like Utopia.
Worth getting the box anyway, since they should have S-Video and stuff too. Lets you use basic cables for most any connection you'd want.
Unless you can work with SCART, I don't think the Saturn has options available for anything past S-Video unless you mod it or use other conversion. You can definitely get RGB out of the thing, but you'd need to feed it into something else to convert it I think.