DSM 2016 R2 - Where is the Data Collector Install?

I've downloaded the DSM 2016 R2 install kit with the OVA and Linux/Windows clients.  But there is no Data Collector install.  Based on the documentation, it is difficult to understand if this is a dedicated piece of software that needs to be installed on the Windows VM housing SQL or if it is now embedded in the DSM VA.  Another issue is when using the \setup screen on the OVA, it prompts for a connection to the Data Collector SQL connection, but it appears to try SQL authentication only and fails.  Not sure if this is due to the Data Collector bits not being installed.  Please advise if you have any info on this setup.