Once you include Axon connector you will be using Axon Server as an event store and as a message (command, event, query) broker.
It is correct, the events will be stored under the data folder now. Please mind, that you are using Axon Server as a broker now as well. This enables you to scale out your application to more instances, and messages will be correctly distributed between them. You would be able to distribute your messages(events, commands, queries) to other applications that are interested as well. No need for RabbitMQ (to distribute events), SpringCloud (to distribute commands) anymore. Everything just works out of the box for you.
You still use SQL database (or some NoSQL) to store your projections/views. This is the query side where you have Event handlers that are subscribed to events from event store.
By default, your application is using tracking event processors.
Tracking event processors, unlike subscribing ones (the second type of processors), need a token store to store their progress in. Each message a tracking processor receives through its event stream/store is accompanied by a token. This token allows the processor to reopen the stream at any later point, picking up where it left off with the last Event.
Minding your configuration with JPA, this token is saved in SQL db table (it is not stored in axon server). As you are using in memory H2 databse, by restarting your application (probably with create-drop) you are wiping out your token, and once the application is started it starts reading all events from the EventStore to recreate your projection. This is normal and expected behavior! If you want a clean (create-drop) start, I would suggest deleting your data folder on Axon Server as well (on each restart) to support create-drop all the way. This process is only valid in DEV environments, you should not delete your event store in higher environments.