What Americans call Jello is what you call jelly, a dessert made with gelatin/sugar/flavouring. Jello is actually a brand name, like Hoover is one brand of vacuum cleaner but the name Hoover has come to be a generic name for a vacuum cleaner. But hardly anyone ever refers to a "jelly dessert" except the makers of brands that are not the Jello brand. It all gets called jello by the average person, regardless of brand. In North America, jello comes in a powder form, not those cubes that you have. Same process to make it; add hot water, stir till dissolved. I loved your jelly cubes, found them fascinating.
Jam is a spread that goes on bread or toast. It has fruit bits and seeds in it. To make it, you just cook fruit and sugar together.
Marmalade is the same everywhere: jam, but made with citrus fruit, though occasionally you get something called marmalade that uses other fruits and even vegetables sometimes.
Jelly, same uses as jam, is also made from fruit but from the juice only so it's clear with no fruit bits or seeds in it. You cook the fruit, strain the juice out, cook the juice with sugar, and perhaps pectin, to make the jelly.
Then there's the term "preserves". Technically. that means any kind of fruit preserved by cooking with sugar as jams and jellies are, but in practise it usually means jam that has larger than usual bits of fruit in it. It's kind of a grey area, but if someone refers to strawberry preserves, you can be sure it's something you can spread on toast.