So who cares?
Shared data sources and shared data sets mean that you can set up your connection strings and SQL queries (and calculated fields and filters) once, and share them on the server for developers to use. Plus you can propagate changes in data sources for a whole set of reports in one place.
Note: ActiveReports Professional Edition includes a stand-alone Designer application that you can give to your DBA, or you can create your own application with the End User Designer control.
Shared data sets mean that you can create reports without worrying about connection strings or SQL queries. Just connect to ActiveReports Server from the ActiveReports designer when creating Page and RDL reports, and you have instant access to all of the shared data sets for your company right in the Report Explorer. These shared data sets are available based on the permissions and security setup for you.
More info: Exploring Page and RDL Reports (To add a Server Data Set)
ActiveReports Server Administrators
Shared data sets allow you to set permissions to data for multiple tenants by role. You can upload and download data sources and data sets created by the DBA, and provide access to them for your report developers.
If you use the optional Designer Add-On to let your users design their own reports in a browser, you won't care about shared data sets, because you create data models for your users. See Managing Models for more information.
Also, check out the Workflow for Shared Data Sets.