confused about how to use scales

so i have learnt the basic shapes of the scales but im confused as to how I have to use them to make basslines. For example if a song is in the key of a major and the chord progression is A D Bm, do i have to play the a major scale and use the A D B notes on that scale or do I have to play the A D and B notes anywhere on the fretboard and use the scales for each of those chords(so minor scale for the B) for other notes. if it is the latter, what is even the point of the key of the song, very confused and would really appreciate someone to explain this to me :)