The handheld that you linked to (Hansgrohe 06364005) can be used with any shower supply valve. It appears that it comes with the wall outlet, the bar, the slide bracket, the hose, and the head itself.

You can indeed use that with any valve.

The valve body that you linked to (Delta R10000-UNBX MultiChoice Universal Tub and Shower Valve Body) has the typical hot and cold water inlets, plus an outlet to fill the tub and an outlet to supply the shower head.

The valve trim kit that you linked to has the trim for the valve, which you'll need. It has a shower arm, the escutcheon plate for the shower arm, and shower head, you won't need any of those. But it does not have a tub filler spout, but from your post it doesn't seem you'll want one.

For use without a tub filler spout, you'll want a threaded 1/2" cap to cap the tub outlet port on the bottom of the valve.

If you're using copper and soldering things together, you'll want a 1/2" female threaded-to-soldered copper fitting to thread in to the valve's top outlet port, something like this:

Your run of 1/2" copper tubing will be soldered to that fitting and run up the wall where it'll be soldered to a 90-degree drop ear fitting like this:

Into the threaded end of the drop ear you'll thread a threaded nipple. The length of the nipple depends on the thickness of your wall, how deep in the wall the drop ear fitting is set, etc. I have a collection of nipples from 1" to 3" long. If you buy extra lengths, you can return the ones you don't use.

So one end of the nipple gets threaded into the drop ear fitting inside the wall, the other threaded end should stick out into the shower about a half an inch (or as needed) and your handheld's wall outlet gets threaded on to that.

Thank you so much, Mongoct! You are so helpful.