about the CPU sockets

Ofc. the socket type has to match with the motherboard. Usually you find a CPU you want to use (fitting your usecase) look up the socket name and find a matching motherboard. But: even if you have the right socket you might not be able to use your CPU with the motherboard, because it might not have recent enough firmware or an unsupported chipset. @lps@lemmy.ml already pointed to pcpartpicker, where you can select a list of parts you want to use and it will tell you about their compatibility, so you can quickly check it. They also have a parametric search to help you find the right parts. You should still read the manufacturers recommendations to be sure.

the GPU

There are Desktop CPUs with integrated graphics, you can also use a dedicated one. For the use case you mentioned you will probably be fine with (somewhat recent) integrated graphics. Kdenlive is the most graphics-heavy of the programs you mentioned, but unless you do editing with insane resolutions or need very quick rendering you don’t need a fancy graphics card. If you decide that you need a dedicated card and want to use Linux you might not want an nvidia card because the driver is closed source and not especially stable. The only real argument for nvidia is when you need cuda.

how do I choose the right PSU

You look up how much power your components need and pick one with a slightly higher rating that isn’t stupidly cheap. You can use also use this calculator.

I just wanna learn on how to choose the right parts

Phoronix is a good resource for (Linux/Free Software) benchmarks which will help you compare similiar parts.