Explanation
Data Collector can gather performance information from multiple SQL Server instances and store it in a single repository. It has three built-in data collecting specifications (data collectors) designed to collect the most important performance metrics. The information collected by default is about disk usage, query statistics, and server activity.
The Query Statistics data collection set collects information about query statistics, activity, execution plans and text on the SQL Server instance.
Missing indexes can be found with the execution plans.
References: https://www.sqlshack.com/sql-server-performance-monitoring-data-collector/