One more link to add to the list Cyrax provided:
https://github.com/CMCHTPC/DelphiDX12Despite the name, it is fully FPC compatible, and definitely the most up-to-date DirectX header I am aware of.
I would also agree that GLScene might be what you're looking for. (Fun fact: FireMonkey (the Delphi component you referenced) is actually itself based on a FORK of GLScene, which was called DXScene (and was really just a stripped down version of GLScene that used DirectX 9 instead of OpenGL as a rendering backend.) To be quite honest, as well, I would say that the current revision of FireMonkey has
far from caught up to where the current revision of GLScene is today, in terms of features/e.t.c.
You might also want to try out the Castle Game Engine, which is extremely robust (and
much more modern "internally" than GLScene... far less slow GLBegin/GLEnd stuff), but is also perhaps a little less easy to get started with due to the lower number of "visual" components it provides.
https://github.com/castle-engine/castle-engine