Hello @dash!
I really like this idea, I am not sure how our docs team made the examples we have but I can ask them and get back to you on what tools they used.
The best option currently that I would suggest is recording a video where you can edit in highlighting/arrows/circles with a video editor tool and embedding this with a Retool Video component.
You can then have this hidden behind a drop down, in a modal or in a collapsable view, or have a 'new user' radio button/toggle button to manipulate the video components. via its 'Hidden' display property!