Splices and termination are made in junction boxes because of safety. The weakest part of any circuit is the place where two or more wires are joined together. Because most home splices are of a mechanical nature they an become loose or just fall apart. A loose connection in a circuit that is carrying a high current will create heat through the resistance formed by the loose connection. Heat can cause combustion. Be retaining the heat or combustion in a closed container such as a junction box it contains the fault to a local area. Some electrical faults can create a shower of sparks that if not contained could cause the surrounding materials to ignite. Always keep the overs on junction boxes and never get into the habit of making open wire splices just because they work. Safety first.
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Can lights have a junction box attached to them. So yes.
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A 240 volt wire is the insulation factor of the wire. If you mean a 240 supply source from a distribution panel to a junction box then the answer is yes. You have to keep in mind that the box has to be accessible, meaning that you can get to the box to check the splice within the box. Don't bury the junction box behind the wall board.
The wire nuts do not have to be inside the junction box. They must, however, be as tight as possible to keep moisture from inside the light fixture.
You can use the junction box to send power outside to another building as long as you do not overload the circuit. Other than that there is no real benefit.