Datasets are where the actual data resides, where permissions get set and quotas, snapshots and replication are handled.
Shares are how you provide access to datasets to external users.
And of course you could use windows to create folders inside the shares.
It wouldn't make sense to provide guest share access to the same dataset that you also provide restricted access to. Because if you are given unauthenticated users read/write access, why bother forcing users to login.