Templates basically replace the files like index.php, single.php, single-news.php, etc. Templates that show posts and content.
Template parts are reusable pieces of content used in one or more templates, like Header, Footer or a CTA banner.
Settings is used to declare all settings, including some general settings for your styles (which makes it somewhat confusing). For example, you specify the available fonts in settings, but you apply those fonts in the Global Style editor or in styles in theme.json. Same for colors, you define the pallettes in settings, and apply colors in styles or the Global Style tab (only available in the Site Editor).
The best flow is starting with your theme.json file, adding all the settings and global styles, and then building your templates and template parts.
The most important blocks for building layouts are the core blocks Group, Row and Column. These are important to learn. Reference: https://developer.wordpress.org/block-editor/reference-guides/core-blocks/
Global Styles lets you style globally, but also globally for a specified block or element.
When you edit Global Styles the changes are saved to a custom post with post type wp_global_styles. This will save a JSON object with all updated values. If you change something in theme.json, but there's also a changed value in Global Styles, that will be used. You can reset your Global Styles from the menu in the Site Editor.
Custom templates are not automatically given a name by WordPress. Because the others are, you need to add the custom templates and template parts to your theme.json (use the theme.json in this theme as a reference).
You can create these using PHP, but the recommended way is using the /patterns folder. These are just a pattern of blocks, and won't update like templates do if you change them later on.
Because patterns are registered on the init action hook, they cannot rely on any data or conditionals that are set or generated after that point in the WordPress load process.
The only templates that support PHP and thus dynamic content like internationalized strings, are block patterns. You can register block patterns without a category so they don't show up in the backend, and then use those patterns in templates or template parts.