I would like to use some diagrams/drawings similar to the picture below in my applications especially without having to pay for any third-party components. Any idea where to start ?

You may look at the JVCL JVDiagramShape.
You have a good example, in the \jvcl\examples\JvDiagramShape\2. UseCaseEditor directory created when you install the JVCL. Not as cool as your example but you may choose your own images.

You may found also another example with a WebMapper, in \jvcl\examples\JvDiagramShape\1. WebSiteScanner :

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