SCENE does one main thing, and one ancillary thing. The main thing is that it ties an input and certain audio settings to each SCENE button. You could, for example, set your TV scene to be your cable box, plus a DSP mode (sports, for example). Your BD/DVD scene would be your Blu-ray player, perhaps with different audio settings. Also, when you press a SCENE button, the receiver automatically turns on and selects that scene. If you have HDMI control enabled, it might also turn on the input device (and maybe even the TV?), but I disabled all of those features so I'm not sure.
The ancillary thing that SCENE does, if you set it up correctly, is to program the remote so that the source power button controls the input device associated with the scene mode. So if I hit TV on my remote, the receiver comes on in TV scene, then if I hit the source power, it turns on the cable box. Ditto for the BD/DVD scene--it would turn the Blu-ray on.
I have my scenes set up as I described, but since I don't use different audio settings for different inputs, I don't find it all that useful. If you can remember which inputs are which, it's probably less confusing to just change inputs the old fashioned way.