To create a label like this in ArcGIS Pro right click on your feature class in the table of contents and select "Labeling Properties", click on symbol and then go down to the callout group (first screen shot) . My approach is to use the 'Background" callout type. In that group you can set the properties of the callout symbol as you want (second screenshot). The key ones are going to be background symbol (usually just a white fill, no outline), leader line symbol (see next paragraph talking about the leader line), leader style (my preference is the 'three point' style), and the margins that dictate how much white space will be around the text of your label (I typically use one or 2 depending on how many labels there are likely to be).
Under the leader line symbol you'll want to pick the 'more line styles' option and then search for 'arrow' under the dialogue that presents itself and pick the one you prefer. One thing you'll probably have to do depending on the line style is change where the arrow symbol appears - ESRI seems to default to the arrow pointing at the label not the feature, which has always seemed backwards to me. So return to the main leader symbol dialogue and go to the 'format line symbol' option and change the 'extremities' value for the arrow part of the symbol to 'at begin' (see 3rd screenshot). Of course you can change any other properties of the leader you want to more closely match the example you provided - line weight, size of the arrow, etc.
If you use dynamic labeling, you may have to fuss with the label offsets and other label rendering properties under the 'position tab' on the properties dialogue. If you convert these to annotation, you can then manually move them around the way that you want them to fit the page, but depending on your workflow and number of features this might be time consuming.
The last screenshot I included shows a label set up as I described above, using 10 points as the minimum offset for the label.



