Is there a way to delete lines after creating them? I think there is one but I can not find it.
and
Is there a way to create circles or non-linear lines using the tool?
By “lines” do you mean annotation rulers? You can edit/delete them in Annotations module.
For circles, you need to do some custom scripting as described here: https://www.slicer.org/wiki/Documentation/Nightly/ScriptRepository#Manipulating_objects_in_the_slice_viewer