Does my phone need to be in the vehicle in order to collect data?

No, it doesn't. If you forget your phone and go for a drive, the Connection Key will be able to keep a memory bank of your trip, so that it automatically updates when you bring your phone on your next drive.

That being said, if you forget your phone, it will not be able to tell you if something is wrong with your vehicle, as it won't have your smartphone to push the information to. Just as a general tip, try to always bring your phone with your on your drives so that if something serious occurs, you can know the severity of the issue right away.