Medusa offers various customization solutions natively. You'll be able to add widgets to "native"/"core" pages as well as new pages that will be injected into the sidebar.
For more informations, check this link from the official documentation : https://docs.medusajs.com/learn/fundamentals/admin/ui-routes#content
However, if you really want to customize the sidebar as you wish, you'll need to fork the package from the Medusa repo, which is simply a Vite + React application that you can run as a standalone app.
You can find the package here : https://github.com/medusajs/medusa/tree/v2.8.0/packages/admin/dashboard
If you need more help, you can find more informations here : https://docs.perseides.org/guides/v2/customize-admin-ui/standalone