This guy right here made watching the video worth it: http://i.imgur.com/twr2j8Y.png
However, it is mentioned at the top here: http://scikit-learn.org/stable/supervised_learning.html.
[1] http://scikit-learn.org/dev/modules/sgd.html#classification
So yeah, it is confusing. There is a lot of overlap between several disciplines and it's still an emerging field.