Product Image Management - Alidropship for Woocommerce

[Direct Webstore]

just to be sure: are all images that are displayed in Media Library stored in my server?

No. There should be an info note with the image if it's stored on ALiexpress.

I read some articles that say that media library images are stored at web-content/uploads in my server,

They are. External images are displayed there too. At least that's the case with my 8 sites.
There is a post about it in one of the update posts in the News section somewhere. Do a search.