It's your bro Facing the other way!
(Please ignore that it would be dro, all hail dro.)
You have to collect them in each level to complete the game. You also need to collect gems as well since Moneybags charges you to learn new skills or open up pathways.
It's the goal of the game. If you get it, and return it to the surface you win. But, it prevents you from teleporting, and once you have it Pandemonium lords will be after you, so the Orb run itself is a hard bit of gameplay.
“ The Orb! Archimedes himself began the construction with little more than a mirror alignment! da Vinci added the gearings. Newton the lenses. Galileo the prisms! And all of the great poets, painters, scientists, alchemists, and philosophers have had the Orb in their hands.”
