Yes, it's a data connection library that lives on SharePoint. It's a best practice to use these because the data connection is stored in a UDCX file so if the server changes, you can just update those files - you don't need to republish the InfoPath form. You can create a Data Connection Library from SharePoint UI. In InfoPath Designer, go to the data connection dialog and choose the Convert option to convert an existing data connection to be a UDCX file.