Up front, I work for Redgate.
We, every monitoring tool, use the exact same set of tools you can use. Dynamic Management Views, Extended Events, Query Store, DMI queries, PerfMon, all the same tools. The knowledge of how to query all these things is also really well established. So, if you have simply tons of spare time, you too can build a monitoring system from scratch.
Purchase one. It's cheaper, takes less time, gives you more functionality than you're likely to give yourself, updated regularly, all sorts of benefits. Then, as needed, either customize the tool with your own unique monitoring needs, or add some XEvents monitoring to enhance whatever tool you land on.
I strongly recommend the second choice, and would even if I didn't work for a vendor.