Here’s my understanding of these terms..

A sequence is any meaningful unit in a film.  It is mostly a collection of scenes and/or shots but depends more on how it adheres to each other in terms of meaning.

A scene is any continuous event captured by the camera and happens in the same setting/ location/place. It might also be a montage as long as it is  perceptually continuous and occurring in the same place.

A shot is more related to the editing and is defined by where the film is cut.  In other words it’s a frame or sequence of frames in between each edit.

I think that a scene by itself can be a sequence, especially in terms of the sequential occurring of shots and if it qualifies in terms of being a single unit.  Yet, I also find that there are two major distinctions
a) a scene always appear in a single setting/place whereas a  sequence can have more than one setting.
b) a sequence will always have the quality of wholeness whereas  a scene need not necessarily have this wholeness as much as it can contribute to one.

Is my interpretation correct? I still feel fuzzy about this.  Please share your thoughts.