Usually this means that you buy a separate component to supplement or replace the existing component (if there is one).
You mentioned GPUs, so some motherboards/CPUs come with an 'integrated' GPU. This means there is a video output built in to the motherboard allowing video without the need to buy a separate component. However, these are not very high-end, so when a consumer needs more graphics power, they install a video card. This is considered "dedicated", because that's essentially the sole purpose of the 'expansion' card. Yes, you are correct with mentioning that an integrated GPU would share the system RAM, in that case.
You could also purchase a standalone ethernet or wireless controller that would fit in an expansion slot, and you could use the same terminology. I've mostly seen it used defining graphics. You could also have a 'dedicated' storage controller as well.
Hope I have helped.