"The question I have is, This is a DATABASE.. so where does the data get stored???"
It's stored in tables you define in a database file or file(s) you create--just like anyother database system.
Second question, I currently have a bunch of NEEDED data in a MSSQL database. I've learned the import process, so does Importing those in to the File Maker Pro now mean that they are NO LONGER connected via ODBC to the mssql server?
That depends. If you just import the data into filemaker tables, then you haven't set up any ODBC link to the MSSQL tables. Filemaker can, however, serve as the front end to tables in another database system via ODBC. That's not something I've needed to do in one of my projects but it can be done.