In a small project-you can use both DataModule and components on the form (frame). And in a large project, each form contains its own Dataset. The additional advantage is becoming less dependent form (Datamodule).
I quickly wrote a small program that considers the components of data access in the project. And here's what happened:
Units (*.pas) - 273 TFDStoredProc - 253 TFDQuery - 29 TFDMemTable - 104
If all these components are placed in the datamodule, I will be lost...
UPD. Of course, you can create a datamodule for each form, then 200 data modules are needed for 200 forms