I’m in a situation where I have configured the new data collector functionality for three instances. And there’s no way to undo the config performed by the wizard! It cannot be undone by the wizard, and BOL doesn’t have information on how to do this. In fact, I suspect that you in the end need to use some of the undocumented data collector procedures to get rid of this configuration (like sp_syscollector_delete_jobs).
I’m not knocking data collector per se – it seems like a great way to get a baseline going etc. But my tip is that while you are playing with it in order to understand it – do it virtually.
Lara has reported this on connect, btw: https://connect.microsoft.com/SQLServer/feedback/ViewFeedback.aspx?FeedbackID=334180