A oneshot is an event that plays once then ends.
An action sheet is a component of an event that allows you to define a list of instruments that the event should play when started.
A oneshot event can potentially include an action sheet, but you can easily make a oneshot event that has no action sheet, and can use action sheets in non-oneshot events.
Action sheets are simpler to set up, as you don’t have to worry about where exactly you position each instrument on the timeline.
Consecutive sounds allow you to play one instrument immediately after another.
You can do this on the timeline, but only if you know how long each individual instrument is going to play for. If any instrument could play for a variable amount of time (perhaps because it has a random modulator on its pitch property or is a multi instrument whose playlist entries have different lengths), predicting the length of time that it will play for becomes impossible, making it impossible to position the next instrument on the timeline such that it reliably begins playing immediately when the previous instrument ends.
That being said, you don’t need action sheets for anything. Eveything that can be done with an action sheet can also be done by other means. Action sheets are, however, slightly quicker and simpler to use than those other means in many cases, making them the quicker and easier option.