Hi Sam,
that is a good question for which there is not, I am afraid, a simple answer. Just by looking at this site (or at a number of Use Case models created in real life) you will see that the way different people use scenarios differs greatly.
Personally, I like the scenarios to be what used to be called "user stories". Description of the Use Case from the users point of view. As simple as this (I am just making up a "fake" Use Case now):
Use Case: Enter Purchase Order
1. User enters a purchase order
2. If the currency is not Canadian Dollar, user specified whether the monthly average exchange rate or the current exchange rate will be used
3. Order is saved, system prints out confirmation number.
Now, there is no doubt that you could build a scenario like this as a very simple Activity Diagram and it would work just fine. There are some advantages to the textual form though.
1. The text is written in the language of the business (using the terminology of the customer etc.). Thus, it is understandable by all of the future users (even if they do not understand UML), they can easily comment on it and ensure that your scenarios are correct.
2. The scenarios can be built very quickly and easily modified, should the need arise (and arise it will :-) )
Now, scenario written in this way reflects behaviour of the system from the user's prospective. It tells you WHAT the system does, not necessarily HOW. The HOW is described later using additional diagrams, that describe the Use Cases in more detail, be it Sequence (Interaction) diagrams, Activity Diagrams etc. etc.
The Order Entry screen, that will need to be created in order to accommodate the scenario I have described above, will likely make use of number of objects in your system - that would be described using a Sequence Diagram. The process flow would be described in detail using the Activity Diagram etc. etc.
In other words, the distinction between the textual scenario and the Activity Diagrams, the way I see it, reflects the distinction between the Users' and the System Analysts' view of the system.
Hope this helps!
By the way, you may be using your scenarios somewhat differently. I would be interested in hearing what you think of this.
Bruno