Changing shower head??

Hi everyone. I am a 30F with no plumbing experience whatsoever but trying to change things up in my home with simple DIY. I’ve been struggling with trying to change my shitty shower head for the past 2 years. I am able to take apart the shower head itself, but the screw piece on the end of the long rod doesn’t fit any different shower connections I’ve purchased.

My questions for this:

Can I remove this big ass rod and replace it with one of the shower arms that come in a kit?

Does it look like I will break something in the wall if I attempt to?

Does this rod look like it’s connecting to the main water supply?

I just want to be able to put in a dual handheld head and waterfall head. Any feedback would be appreciated thank you!