Understanding "sending hex code" Recently I've installed iTerm2 and customized key mappings.

For example, I wanted Command+Delete to remove the entire line. In order to achieve this I created a new key mapping where Command+Delete maps to Send hex codes: 0x15.

Could someone point me to the source where it is explained what sending hex code actually achieves.
It just sends the corresponding bytes to the shell. Same thing as "send escape sequence" but with different notation - the raw data otherwise represented by symbols and characters. It's then up to the shell to interpret this (usually through readline and .inputrc bindings, or equivalent) into commands. 

In your specific example, 0x15 means Ctrl+U, the standard binding for backward-kill-line. So when you bind Command+Delete to send that, it works because you are just piggybacking on the standard bindings.