This filter was added in Caldera Forms 1.7.0
This filter can be used to supply a different callback function for GDPR data export or eraser requests. If you wish to have different functionality for the exporters or erasers than occurs by default, this filter is for you.
Where Does This Code Go?
When using WordPress hooks to customize Caldera Forms or other plugins you should not modify the plugin files, or you will lose your changes when you update the plugin. Instead you should create a small plugin to hold the custom code. It's easy, learn how here.
Technically you can add the custom code to your theme's functions.php, but then you will not be able to change your theme and keep these customizations.