This lecture by Dennis Freeman from MIT 6.003 "Signals and Systems" gives an intuitive explanation of the connections between the four popular Fourier transforms (the Fourier transform, the discrete Fourier transform, the Fourier series, and the discrete-time Fourier transform):
https://ocw.mit.edu/courses/6-003-signals-and-systems-fall-2...
Also, a property of wavelets is they're non-parametric, which limits their utility in knowledge discovery applications.
For ML applications, my opinions is that they're somewhat superseded by deep learning methods that apply less restrictive inductive bias. As data grows, the restrictive prior assumptions of wavelets will hurt, sort of like how CNN is being abandoned for ViT, even though CNN can outperform in situations where data is scarce.
So overall, they have a pretty small set of usecases where they're more suited than other alternative tools.