Why 'connection' is presented to developer as interface not object?

Library determines object lifetime using reference count technic. The interfaces let to implement it transparent to developer.

Can I use just classes derived from TObject? Not components?

Yes. You should to comment line {$DEFINE ROOTISCOMPONENT} in file DnConfig.inc

I need to bind to each thread my own data. How can I do it?

There is a TDnThreadContext object. It represents thread's context. You may use this class. Its instance is provided to developer in TDnThreadExecutor's events OnCreateContext and OnDestroyContext. Also instance of TDnThreadContext is provided in all asyncronous network events (reading/writing blocks and so on). You may inherit TDnThreadContext and create your own context class.

How can I bind my own data to connection?

Use IDnChannel's property CustomData. Or you may inherit from TDnTcpChannel in TDnTcpListener's event OnCreateChannel. But in asynchronous network events you receive interface implemented by this class. So you need to use IDnImplementation interface for getting pointer to instance of your class.

How can I bind connection's events to specific thread?

In TDnTcpListener.OnIncomingChannel event's handler you should to write:
ThreadExecutor.BindChannelToContext(Channel as IDnIOTrackerHolder, Context);
where ThreadExecutor is instance of TDnThreadExecutor, Channel is interface of connection, Context is thread's context.
When channel is closed you should to write:
ThreadExecutor.UnbindChannelFromContext(Channel as IDnIOTrackerHolder, Context);

What's the purpose TDnSimpleExecutor?

Is is written for debug purposes. It may be used in the case of unstable bug for verifying estimating about its thread's synchronization nature. Just replace TDnThreadExecutor with TDnSimpleExecutor and see the result.