A scene is well... a scene. A game's main menu is a scene, the settings screen, even the gameplay itself is a scene.
It contains the objects shown on it and handles basic events like rendering and updating.
This allows for code like this to be written:
if (playGameClicked)
{
changeScene(new GameScene); // In real code the passed parameter should be
// wrapped into a smart pointer by the changeScene method.
}
SFML does not handle scenes, so you're going to have to implement them yourself.