Maybe you did not understand: the plot is not in a separate gnuplot window but integrated into your own program - look at attached screenshot. What your program has to do is to generate the gnuplot script from your data, start gnuplot in the background with this script, catch the output image and load it into a TImage component on your form.
The only problem is maybe that the plot is static, i.e. you cannot zoom or change the perspective - well you could invoke gnuplot after each change, but this certainly will not be a smooth operation.