Learn French: Le bus est en retard ce soir.

In French, being late is expressed with a phrase that literally translates to in delay: en retard. You use it with the verb être (to be) just like we use to be in English, so est en retard translates to is late.

Why do we use ce before soir?

Ce is a demonstrative adjective, which is a word used to point something out, like this or that in English. You use ce here because soir (evening) is a masculine noun. If it were a feminine noun, you would use cette.

Does ce soir mean this evening or tonight?

It means both! French uses ce soir to talk about the evening and the active hours before you go to sleep. The literal word for night is nuit, but cette nuit is usually only used to describe the time when people are actually asleep in bed.

Since we are learning venir (to come), could I say Le bus vient en retard instead?

You could, and people would understand you mean the bus is coming late. However, just like in English, it is much more natural and common to use être (to be) to state that a vehicle or person is late. The set phrase être en retard is the standard choice here!