What exactly is a "thread" in thread_cache_size, Thread_connected and thread_created? In the MySQL 5.7 manual, I read that the thread cache has a size determined by the thread_cache_size system variable.

The default value is 0 (no caching), which causes a thread to be set up for each new connection and disposed of when the connection terminates.

But what exactly is a "thread"?

A connection thread becomes inactive when the client connection with which it was associated terminates.

Again, I can't understand what is a "thread" that I'm reading about.

Threads_created: The number of threads created to handle connections.

What the word "thread" refers to in this case?

Threads_cached: The number of threads in the thread cache.

Again this word "thread".

Threads_connected: The number of currently open connections.

I can't understand what is a thread. It is not connection I guess...

But what is it? Maybe it's only a matter of translation in my language, but I can't make up my mind to understand what is a "thread"
On *nix, a MySQL thread is a relatively heavy-weight "process".  You can see the "processes" in top or ps.

For Windows, thread_cache_size = 0 is OK.  This is because threading is done differently.

On *nix, thread_cache_size should be a modest number, say, 20.  It is the maximum number of unused processes to keep open.  Suppose you have a burst of activity and briefly peak at 30 threads running (Threads_connected), but then 7 disconnect.  That leaves 23 connected, plus the cache of 7 "processes" not yet terminated (Threads_cached).  Let's say another 18 disconnect.  You are down to 5 running and 20 (the cache size) held in reserve.

A "thread_pool" is something different.  Furthermore, Oracle and MariaDB implemented different things here.

The STATUS values of Threads_cached/connected/created/running give a peak into whether the VARIABLE thread_cache_size needs tuning. 

Threads_created/Uptime is how fast a new process is being created because the cache is too small.  Recommend keeping this under 3/second.