To protect against theft and scamming I need to know
"paper wallet" and all cryptocurrency wallets(such as app wallet, hardware wallet and...) all of them just store public and private key into themselves(with different encryption ways)?
Paper wallet is something you create so it depends on what you do and what tool you use.
For example a good method for creating paper wallet is using a deterministic wallet application offline to generate a seed phrase and writing that down on a piece of paper. So you end up with a mnemonic (not public/private key, not addresses either).
As for encryption you have to choose encryption yourself too. For example when creating a paper wallet using a single private key you can use BIP38 to encrypt it with a strong password.
Which one of them has other mechanisms for protecting theft such as confirming transactions via email confirmation, SMS code, or...?
These methods don't add any security and there is no third party with access to your secrets to send you any kind of confirmation code such as SMS, etc. You do everything on your own including generation of the keys and you must do it offline (on an airgap computer).