How to play multiple scores at the same time?

A score is music for (potentially) multiple instruments all written on parallel staves. A part is just the staves for one instrument. That is, the score is what the conductor looks at, the parts are what the players individually play from. This isn't MuseScore special techno-speak,. btw - it's the same terminology used in orchestras etc. Most parts contain just the staves for a single instrument - like the 2nd clarinet part is just the 2nd clarinet staff. But it isn't uncommon for the percussion part in an orchestra piece to contain mutliple staves - say, one for snare, one for triangle and cymbals, etc.

You don't link parts together. You start by entering the full score, then you go to File / Parts and it generates parts for you. By default, it generates one part for each instrument, but you can also ask MuseScore to generate a "part" consisting of several instruments at once, which is how you'd generate a percussion part from your orchestra score.

So, create your score for one giant ensemble consisting of *both* the orchestra and other ensemble, then generate two parts: one consisting of just the orchestra instruments, the other of just the other instruments.