CRZ stands for cross-realm zones. Its purpose is to make emptier zones more alive by making players from other realms visible to you. Because some players don't like feeling lonely in big empty zones by themselves, especially in a multiplayer game. As a general rule, similar realm types get the same kind of players through CRZ, so RP realms are grouped together, and regular realms are likewise grouped together.
Even before CRZ was a thing, it was possible to see players from other realms if they were in a party with someone from your realm.
Sharding fills the opposite purpose. When too many players are in an open-world area (not an instance, which only allows a fixed number of players anyway), the space gets "sharded" by having the game make duplicates of the area and only showing some of the players around you.
Connected realms was the solution to making low-population servers more lively without merging them with other servers, since merging would introduce problems like having characters or guilds on different servers with the same names. From a gameplay standpoint it's like being in a permanent CRZ with the other realm(s), though on the technical side there are some differences that I don't have the inclination or expertise to talk about.