The role of energetic particles (EPs) in fusion plasmas is unique as they could act as mediators of cross-scale couplings. More specifically, EPs can drive instabilities on the macro- and meso-scales and intermediate between the microscopic thermal ion Larmor radius and the macroscopic plasma equilibrium scale lengths. On one hand, EP driven shear Alfvén waves (SAWs) could provide a nonlinear feedback onto the macro-scale system via the interplay of plasma equilibrium and fusion reactivity profiles. On the other hand, EP-driven instabilities could also excite singular radial mode structures at SAW continuum resonances, which, by mode conversion, yield microscopic fluctuations that may propagate and be absorbed elsewhere, inducing nonlocal behaviors. The above observations thus suggest that a theoretical approach based on advanced kinetic treatment of both EPs and thermal plasma is more appropriate for burning fusion plasmas. Energetic particles, furthermore, may linearly and nonlinearly (via SAWs) excite zonal structures, acting, thereby, as generators of nonlinear equilibria that generally evolve on the same time scale of the underlying fluctuations. These issues are presented within a general theoretical framework, discussing evidence from both numerical simulation results and experimental observations. Analogies of fusion plasmas dynamics with problems in condensed matter physics, nonlinear dynamics, and accelerator physics are also emphasized.