You're just smelling the fresh shredded bark, it's still got the oils in it that give it "that mulchy smell". In my experience the stuff you get in bags from the big box stores is all dried out and doesn't really have much smell. When I get a pickup load from a landscaping center, it smells the same as what you see the landscaping services putting down. But that's not really important, the point is that there's nothing magical in that smell.
If you have mature trees, they probably don't need anything.
Younger trees can benefit from being mulched out to the drip line in order to prevent grass from growing and competing with the tree for water and nutrients. But, do not pile up mulch around the trunk of the trees! (See "volcano mulch" for what not to do.)
Shrubs and lilies also benefit from mulching, for the same reasons. The mulch helps hold moisture and keep down competing weeds.
You don't need to clean up the leaves for any reason other than aesthetics. They make a nice mulch -- I rake leaves off my front field and put them around plants. Leaving them in place will save you work and benefit your plants; you could rake leaves off your lawn and add them to your mulched areas. No need for bagging and disposal, no need to buy mulch materials.