Hi @[deleted]
Well yes the issues can be different based on these sources, it really depends on the criteria of these sets.
Project: Container of issues. Jira can have multiple projects for different purposes.
Board: Agile boards, another layer on top of issues, could include 1 or more projects or filters.
Filters: Saves searches, used in reporting and other places like boards.
In Advanced Roadmaps one main advantage of using Board is that it will bring in Sprint data in your plan which you can use for planning.
There is already lot of information in the official documentation related to various use cases, this page has good information to get you started.
I hope it helps.
Ravi
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