Shards are isolated sets of data. When I create my character DudeGuy19192 on Shard 1 and then and you create your character DudeGuy19192 on Shard 2, nobody gets a "name already used" message because each Shard is basically the entire game in isolation.
Blades are allocations of hardware resources, typically on games with single sharded architectures. If 100,000 players are in one zone, the work of computing that zone will be shared by multiple blades (processors). The rest of the zones might all be shunted to one blade, with all of the others working tirelessly to support that one mega-zone. Jita comes to mind when talking about Eve...
Zones are collections of data within a shard. Typically this data is just "there is a monster here with n hitpoints at (x,y) coordinates." They rarely if ever hold account data (that's what Shards do). Instances are typically implemented as zones.
Rooms and scenes are the same thing, even smaller collections of data if they are used at all. When you enter a door, but don't have to load into it, it means you're probably still in the same zone but possibly a different room. It can be useful for grouping objects (no need to collision check things in room 1 with things in room 2), but I rarely see them used any more. It's easy to just teleport you to some unreachable spot in the zone and not deal with this layer.
Worlds are equivalent to Shards. So are "Servers."