The CEIP Service is the Customer Experience Improvement Program that sends telemetry data back to Microsoft.
When you install Microsoft SQL Server, the CEIP Service is installed too. You can’t disable it during installation: it shows up in your services list whether you want it or not.
What data does the CEIP Service collect?
Microsoft goes into a lot of detail here, and the short answer is things like:
Crash dumps – which may contain your data and the exact contents of your queries, which can contain