The System Data Archiver gathers data and provide them to the System Insight feature.
(Thanks to Yilia Zhao (MSFT CSG) who led me to the answer)
Consequences of uninstalling the feature
If you uninstall the System Data Archiver feature the System Insight will log the following type of errors:
ProviderName : Microsoft-Windows-System-Insights
Id : 147
Message : Unable to load DLLs required to gather data for capability 'CPU capacity forecasting'. Potential issues: Feature 'System-DataArchiver' is uninstalled. if so, install the 'System-DataArchiver' feature.
Furthermore, when you uninstall the System Data Archiver feature it removes the collected data too. You must then wait at least 6 days after reinstalling it before System Insight can make a forecast.