Data Connectors support options for excluding imported data when saving the project (smaller files, plus, maintain a live link to source data) and for protection of data against accidental alteration or deletion. The source file may be local, it can be on a company network it can even be on a web-server. As the name implies, Data Connectors create a link between your project and an external source file.
A new generalized data import mechanism we call Data Connectors was added in Origin 2019b.