Now days you gotta pay for a Usenet subscription. Not like the old days where your ISP, university, etc would offer a good Usenet feed. With that said, a year Usenet subscription is $20 - $30. You can also buy block accounts where you pay for say 500 GB of data for $5. Here's what I can answer on your questions:
Sonarr/Radarr is the thing that sits between your Usenet client (NZBGet) and the Usenet indexer/search engine. You tell Radarr you want such and such movie with specific criteria (1080p, English, etc). Radarr uses the indexer to find all copies of the movie that meet your criteria. Radarr sends the NZB file provided by the indexer to the Usenet client for download. The criteria for Radarr/Sonarr can also have levels. So say you want a 1080p version of the movie but all Radarr can find at the time is a 720p. It will have the Usenet client down the 720p version while it keeps looking for a 1080p version.
NZBHydra is just a front end to multiple Usenet indexers. So you get a subscription to multiple indexers and put them in NZBHydra. Then you point Radarr/Sonarr to NZBHydra instead of having to configure multiple indexers into both Radarr and Sonarr. Also, if you change indexers then you would just have to change the setting in NZBHydra.
CouchPotato has been replaced by Radarr. In Radarr you can tell it to use a bittorrent client as the source of the movies instead of a Usenet client. Same for Sonarr.
NZBGet is the Usenet client that downloads the posts, assembles them in the original binary files. Sabnzbd is another popular one and I believe older. Either is fine. Once the NZBGet has downloaded the posts and built the binaries, etc then it tells Radarr/Sonarr. Radarr/Sonarr kicks back in and moves the files to the place your media server looks at.
Media server such as Plex, Emby, Jellyfin, etc. It constantly monitors the location the Radarr/Sonarr moves the files to. Once it finds say a new movie on the filesystem, it downloads the metadata (poster of movie, subtitles, etc).
That's your basic Plex/Radarr/Sonarr/Sabnzbd stack. There are a few more things you can install but they are gravy on top of the basics.
Hope this helps.