Jenkins: What is a build? I'm coming from Ops and I don't have a heavy software engineering background. In Jenkins, what is a "build" exactly and why is it named such? When I build a shell/powershell script, I'm not really compiling anything, am I? Then why is Jenkins "building" the source code. I thought building from source to binary is for compiled languages, unless Jenkis is using the word "build" in a more generic manner.

Please help me understand what's going on objectively.
As you guessed, build not necessarily means "compile". Building is a process of creating software from sources, which might include stuff like gathering dependencies, compiling, archiving, transforming code in any way, but also testing, deploying to different environments and promoting the artifacts between them.