I'm new to the dbt and I'm planning to use dbt cli. One question is how to setup the dbt ui and have such a data lineage graph? I didn't find how to do it here with cli https://docs.getdbt.com/tutorial/create-a-project-dbt-cli.

dbt docs might be what you're looking for?
You need to first generate the docs using:
dbt docs generate
Then, serve them:
dbt docs serve
You'll find that the docs are served locally. Once you open the link in a browser you can see the lineage at the bottom right like so:

There is more detail here: https://docs.getdbt.com/reference/commands/cmd-docs
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