"It depends." Whether you should show every combo of state and event or not is a local decision. What closures really make easy is something like "I always set something up, do something, and tear it down", and it allows you to put the set up and teardown in one place. Or maybe it lets you put the "something" in one place and it's the setup and tear down that are different every time. Or maybe you've got multiple state machines that are talking to each other, and it makes it possible to abstract them from each other a bit. It isn't like there's one design that they enable that is impossible without them, it's more like, it's a tool without which I would really be stuck.
But one concrete example: I have a state machine that manages connection to a network resource that requires a negotiation process. I have some code that would like to just use that connection, without having to manage it, and there are many ways to enter this code and many things it may want to do. During the connection process, if more requests come in, the connection state machine just stacks them up as closures to be executed when the machine completes its connection. (Or, called another way, notify the callers of an error.) These closures themselves contain other ones that have the details of how to back to their state machines and send a message along that particular socket to go back out to the right client along one of several protocols. None of this is impossible without closures, but keeping the machines ignorant of how the other machines work is a lot harder without them.
OO can do it too, albeit with a different flavor. Without one of OO or closures is a pain, though.
But one concrete example: I have a state machine that manages connection to a network resource that requires a negotiation process. I have some code that would like to just use that connection, without having to manage it, and there are many ways to enter this code and many things it may want to do. During the connection process, if more requests come in, the connection state machine just stacks them up as closures to be executed when the machine completes its connection. (Or, called another way, notify the callers of an error.) These closures themselves contain other ones that have the details of how to back to their state machines and send a message along that particular socket to go back out to the right client along one of several protocols. None of this is impossible without closures, but keeping the machines ignorant of how the other machines work is a lot harder without them.
OO can do it too, albeit with a different flavor. Without one of OO or closures is a pain, though.