Roadmap and milestones
In simplest terms, can someone please explain to me what are milestones and roadmaps and what are how are roadmaps created?
My advice is to avoid such terms of reference if they complicate things. It might be better to consider the Product Backlog as a planning tool for value delivery. The backlog can be organized so plans are captured at various useful levels of granularity.
A milestone is a marker of a stage in a project. They are often aligned with demonstrating or releasing a particular unit of functionality on the path for the known entire set of desired functionality. A roadmap is a plan - it often relates milestones and dependencies between them and gives stakeholders some insight into when work will be available or delivered. Both are typically used in more plan driven methodologies as they give a sense of control and planning over a project.
I'd tend to agree with Ian Mitchell. In the context of Scrum, the ordered Product Backlog can give the same insights as a roadmap, but much more aligned with the reality of complex projects. Items at the top of the Product Backlog are more well defined and will be delivered earlier. If they are sufficiently refined and there's some historical data on the team's performance, you can give very rough forecasts of when the work may be done by the team. You could consider each Sprint and it's potentially releasable Increment to be a milestone that can be used to elicit feedback and reorder the Product Backlog, with Product Backlog Refinement being used to add clarity to the near future of work.
I'd recommend checking out Roman Pichler's blog related to Product Management. There's some great content on Goal Oriented Product Roadmaps that help inform the order of the Product Backlog and illustrate the product and business goals on the horizon.
Something like this tells you where you're going in terms of outcomes and high level features without getting into a ton of granularity. You can leave that for the top items of your Product Backlog.
I find these types of roadmaps lend themselves well to the Scrum framework and helps the team gain alignment towards the bigger picture.