The first time you open up transaction SWNCONFIG all those options can be very confusing. There’s several tutorials out there that give you step-by-step instructions, but still leave you unclear on what you’ve actually done. Here’s a high-level diagram I put together to help illustrate the relationships between the different configuration sections.
The arrows represent references. For example, part of defining a Filter is associating it with an existing Category. So you can see the order in which you must complete your config: start at the end of the flow, with Delivery Schedules and Types, and work your way back up to Filters and Schedule Selections.
One other thing to note is that Message Templates, Delivery Schedules, and Delivery Types are global, while everything is specific to a Scenario.