TFS is on-premise, all these 3 are online. This is clear.
What I don't understand is: What is the difference between these 3?
It seems they are all the same, but I guess I miss something.
These three names actually refer to the same service. Both vso and vsts are the former names of azure devops.
On November 2015, Microsoft announced the transition of its Visual Studio Online (VSO) service to the name Visual Studio Team Services (VSTS) which better describes the role that it has as the platform for DevOps delivery. You can refer to this blog.
On September 10, 2018, Microsoft renamed Visual Studio Team Services (VSTS) to Azure DevOps Services. See the details about the rename here.