I have no evidence for this answer, it's just my own suspicions.
Given the price point of Application Insights and the huge amount of data that it can swallow, I would be very surprised if it were SQL / DocumentDB, etc. Most likely, this is Azure Storage Tables.
I would suggest that the architecture is the storage account in your subscription, and the Azure server cluster uses the data and spills it into your table. Then, when you read this data, it converts the queries into a format that storage tables can use.
This is the only architecture that I see that will make it profitable to deploy, although there is probably an added value, people will use Application Insights because they already use other Azure Services.
In any case, this will be my hypothesis, and if we do not get the Azure Dev response, it is probably as good as we get.
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