All grains start with starches which store the energy the seed needs to grow when it germinates. Malting breaks down the most of the proteins which hold most of the starches in place and enables the starches to solubilize when in water and make them more available for the enzymes in the grains to convert the starches into sugars.
Base malts still have a good portion of the enzymes available to them to convert the starches. Most specialty malts are made by bringing wetted, malted grains up to mashing temperatures where the enzymes present can convert the starches to sugars. They are then kilned or roasted where the sugars, any residual starches, and the proteins in the grains can chemically interact to give us various flavors. For crystal/caramel malts this typically ranges from sweet to caramel to toffee, to dark raisin and prune to burnt fruit flavors, all depending upon the temperature and time of kilning or roasting. Roasted a bit more as in the case of biscuit, brown, chocolate, or black malts and we get flavors which range from deeply toasted, biscuit, nutty, coffee, and roasted/burnt. These specialty grains still have some extractable sugars which can be steeped or extracted in the mash and will contribute to wort gravity.
As Ck27 pointed out, some of these grains contribute very little to fermentable sugars but they still do have some contribution, even chocolate or black patent malts.
The setting of a grain or sugar to non-fermentable in BeerSmith should be done only when you are certain of any lack of extraction of sugars.