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How could I draw those lines between the various stencils?
The lines between stencils are called Flows and represent the communication flow between components of the solution. The direction is from the initiator, also called Source, to the recipient, also called Target. Currently, the only way to create Flows is to use the Diagram.
How to address this problem
To draw Flows, you need to open a Diagram and ensure that both the Source and the Target Entities are present. Then, you have to move the mouse pointer in the middle of the Source. When it becomes a hand, you can draw the Flow: just click with the left button of the mouse and without releasing it, move the pointer on top of the Target. You will see the arrow representing the Flow being drawn dynamically. When you are on top of the Target, you can release the mouse button: this will make the arrow to stick and the Flow to be created. At this point, you should change the name of the Flow, review the Flow Type, and optionally include a description.

My diagrams are all messed up! Flows seem to float in the canvas, disconnected from any Entity. How can I fix this?
This is a known bug, caused by the different DPIs the various screens have. It will be fixed soon.
How to address this problem
There are two main ways to fix the issue in your Threat Model. The simplest one is to create a new Diagram, that will replace the one with the problem. Then you have to return to the source Diagram, select all objects in it using CTRL+A, then copy everything using the Copy button in the Diagram ribbon. At this point, you can return to the new Diagram and open the context menu on the Drawing pane using the right mouse button, then choose command Paste. To complete your activity, copy the name, the description, and all relevant information from the original diagram. At this point, you can remove the old diagram. Please note that this approach may break the link between Entity shapes and linked Diagrams.
The second approach requires a little more work but it may be safer than the previous one: to apply that, you should simply move the shapes which should be linked to the disconnected flows. The related flows will be automatically fixed. Small movements, just little more than touching the shapes, would be enough. This approach works also if you move Trust Boundaries: in fact, moving them may be even better, because it tends to fix more flows at the same time.