The Show Settings panel is where you set up behaviours, variables and dashboard functions which can be triggered or are available throughout the show. You can think of them as global settings which are always in play.
Show Behaviours - are able to be triggered at any point during the show, and are not linked to specific scenes being active or inactive.
Show Variables - can be referred to by any scene's behaviour.
Show Computed Values - can be referred to by any scene's behaviour.
Show Dashboard - will appear in the Dashboard panel on the left hand menu (in the Run view), unlike scenes which appear in the scene itself.
Behaviours can be added to your Show scene the same as any other behaviours across your show, however, any behaviours built in the Show scene can be global (meaning they can be active during the entire show, if needed).