Note that I only recently started carefully studying Riemannian geometry, so I'm not aware, off the top of my head, of all the conventions regarding the signs of the curvature, placement of indices etc, so take those issues with a grain of salt.
For the components $R^{\rho}_{\,\sigma\mu\nu}$, even though all the indices $\rho,\sigma,\mu,\nu$ lie in the same range $\{1,\dots, \dim M\}$, it is useful to use a different notation. There are really two pairs of indices here, so let me write this as $R^{\alpha}_{\,ij\beta}$. In this way, the coordinate expression in terms of the $\Gamma$'s is
\begin{align}
R^{\alpha}_{\,\,ij\beta}&=\Gamma^{\alpha}_{i\mu}\Gamma^{\mu}_{j\beta}-\Gamma^{\alpha}_{j\mu}\Gamma^{\mu}_{i\beta} +\frac{\partial \Gamma^{\alpha}_{j\beta}}{\partial x^i} - \frac{\partial \Gamma^{\alpha}_{i\beta}}{\partial x^j}.
\end{align}
Here, we can think of each $\Gamma_i$ as a matrix $(\Gamma^{\mu}_{i\nu})_{\mu,\nu}$, in which case if we define $R_{ij}$ to be the endomorphism whose matrix entries (relative to the usual coordinate induced basis) are given as $(R_{\,ij\beta}^{\alpha})_{\alpha,\beta}$, then the above expression can be written more succinctly as
\begin{align}
R_{ij}&=\Gamma_i\cdot\Gamma_j-\Gamma_j\cdot \Gamma_i +\frac{\partial \Gamma_j}{\partial x^i}-\frac{\partial \Gamma_i}{\partial x^j},
\end{align}
where the $\cdot$ refers to matrix multiplication.
So, the curvature $R$ is an object which in coordinates yields for each $i,j$, a certain matrix $R_{ij}=(R_{\,ij\beta}^{\alpha})_{\alpha,\beta}$, which happens to be skew-symmetric in $i,j$. Hopefully this clarifies the role of the different indices.
I think that by abstracting one level up can clarify the situation significantly. Let us consider a vector bundle $(E,\pi,M)$, and say $\dim M=n$ and $\text{rank}(E)=k$. Suppose we have some connection/covariant derivative operator $\nabla$. Using this we can define the curvature $R$ analogously to in the case where $E=TM$ is the tangent bundle. In this case $R$ is an $\text{End}(E)$-valued $2$-form on $M$. Being a $2$-form is reflected in the fact that in the coordinate expression, $R_{ij}=-R_{ji}$. Being endomorphism-valued is why we have two other indices $\alpha,\beta$.
You said you're aware that curvature is related to the change of a vector by parallel transport. Let us make this more precise:
Let $(E,\pi,M)$ be a vector bundle where $\dim M=n$ and $\text{rank}(E)=k$, and say we have a connection $\nabla$. Fix a point $p\in M$ and let $(U,\phi=(x^1,\dots, x^n))$ be a local coordinate chart about $p$. For any distinct $i,j\in\{1,\dots, n\}$ and any sufficiently small $\epsilon,\delta>0$, let $\gamma_{ij,\epsilon,\delta}$ be that curve in the manifold $M$ such that $\phi\circ \gamma_{ij,\epsilon,\delta}$ is the rectangular loop in the $x^i$-$x^j$ plane, with bottom left vertex at point $\phi(p)$, and which has side-lengths $\epsilon,\delta$ and which is traversed counter clockwise (see picture below). Let $P_{\gamma_{ij\epsilon,\delta}}$ denote the parallel-transport along this loop; this is an isomorphism of the fiber $E_p\to E_p$. Then,
\begin{align}
P_{\gamma_{ij,\epsilon,\delta}}&=\text{id}_{E_p}-\epsilon\delta R_p\left(\frac{\partial}{\partial x^i}(p),\frac{\partial}{\partial x^j}(p)\right) + \mathcal{O}((\epsilon^2+\delta^2)^{3/2})\\
&:=\text{id}_{E_p}-\epsilon\delta R_{ij}(p)+\mathcal{O}(\|(\epsilon,\delta)\|^3)
\end{align}

In fact, some books even use this equation as the definition of the curvature $R$. In words, if you parallel transport along a rectangular loop in the $x^i$-$x^j$ plane based at the point, then the deviation from the identity is equal to the curvature component $-R_{ij}(p)$, up to third order corrections.
I hope this makes it clear why so many indices are required. We need to describe parallel-transport along loops which lie in every possible plane (hence the $ij$ indices); then since parallel transport is an endomorphism for each fiber, if you want to describe the change in components of the vectors in that fiber, you need to introduce two more indices $\alpha,\beta\in\{1,\dots, \text{rank}(E)\}$ to describe this. So, in the expression $R^{\alpha}_{\,ij\beta}$, I think of $i,j$ as "planar indices" and $\alpha,\beta$ as "endomorphism indices" (though I like to suppress the $\alpha,\beta$ indices whenever possible because for me anyway it makes more sense conceptually to enlarge the target space to the space of endomorphisms and only keep track of the planar indices).