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There are loads of options, most do different things.
If you painted the armor simply in one colour, that's considered the base colour which is really the foundation for everything else.
A shade is a thin paint without surface tension. That means it will run into all cracks and edges and pool there. Since that is a very quick and easy way to get dark shadows in places where those are mostly wanted, it's a step that is really worth doing. It brings out the recessed areas in the miniature.
The opposite is a drybrush highlight. That's done with a stiff bristle brush and very little and/or thick paint. The idea is that the big rigid brush is hitting only the proud/protuding bits of the miniature, thereby bringing out edges and protuding thingies.
A glaze is something completely different. It is paint, mostly transparent but tinted into one colour. It's used over a bunch of different other paints to tie them together with a common colour, or to mute colour differences.
I've got a feeling you might have meant varnish, which comes in matt, satin or glossy. Varnish is a clear (unless you pour it on) layer of paint that is meant to protect your paintjob. A good idea for all metal models from which paint may chip off much easier than from plastic minis. Also, satin or glossy varnish is used to make some areas of a miniature pop. Look slimy, wet, have a sheen etc.
What most minis will get between the base colour coat and a shade, glaze or varnish, is some colour variation. Mostly highlights, spots of a brighter variant of the base coat paint that go where the light would hit or interest is.
Depending on the strategy and colour scheme, a shade is done between the base coat and the highlights or afterwards. Glaze and varnish are typically done at the end. Some paintjobs include an intermediary use of varnish, but I wouldn't worry about that at this time. ;-]
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