This seems like a which comes first, the chicken or the egg. The Monitoring Agent does indeed collect the data but it exists in a Virtual machine - ie. it's a virtual machine extension. I think the answer should then be Virtual machine and Log Analytics Workspace.
definitely not the best question, since VM is needed to collect data for SQL Insights. While the Azure Monitor Agent is the one who does the actual job of collecting.
SQL Insights uses dedicated monitoring virtual machines to remotely collect data from your SQL resources. Each monitoring virtual machine has the Azure Monitor agent and the Workload Insights (WLI) extension installed. The given answer is correct
getting to the bottom of it: https://learn.microsoft.com/en-us/azure/azure-monitor/agents/agents-overview - "Azure Monitor Agent (AMA) collects monitoring data from the guest operating system of Azure and hybrid virtual machines".
So indeed the answer is Log Analytics and a VM, as this definitely is related to SQL Insights.
The store part is correct like Pravana said. but the collect is wrong
From the same link Pravana provide :
You will need to create one or more Azure virtual machines that will be used to collect data to monitor SQL.
seem to be correct answer,
SQL Insights stores its data in one or more Log Analytics workspaces.
https://learn.microsoft.com/en-us/azure/azure-sql/database/sql-insights-overview?view=azuresql
https://learn.microsoft.com/en-us/azure/azure-sql/database/sql-insights-enable?view=azuresql#create-log-analytics-workspace
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