Rooms are collections of accessories. You can tell Siri to turn off all the lights in a room, for example.
Zones are collections of rooms. For example, you could create an upstairs zone and tell Siri to turn off all the lights upstairs.
Scenes allow you to set accessories to a predefined state. Then you just say the name of the scene to Siri to make that scene happen. This is very useful for making your actions more natural with Siri. Let's say, for example, you have an action called Goodnight Mode that sets your house up for bedtime. Now, with the default homebridge-indigo configuration, you would have to say to Siri "turn on Goodnight Mode." But if you create a scene called Goodnight that sets the accessory Goodnight Mode to on, then you can just tell Siri "Goodnight" and it will execute the scene.
This article provides some instructions for setting these up:
http://www.imore.com/how-add-rooms-zones-and-scenes-your-homekit-house
-Mike