What exactly does this option mean? I'm pretty sure it doesn't simply "open a web page". What is the default? Do I have to enable or to disable data collection?

I don't exactly know. From what I understand/remember it collects data about game performance in regards to your PC specifics (hardware and such). It should'nt collect anything else. Usually if you hover over that option, if a game has analytics, there is a description.
I don't remember what the default is/was for Dead in Vinland.

[Personal sidenote/potentially unwanted extra information: I always uncheck the box for Analytics, if a game has it and it isn't unchecked already. (I don't know about these technical things. So it's kind of a reflex. I don't like not personally being able to verify, that it does only what it states it's doing, nothing "extra".)]

I took a closer look meanwhile:
It's not real option. If you click the analytics button, you open a Unity site in your browser, where you can opt against data collection - default seems to be opt in. By rights "opt out" should be the default, and I don't like to have to go to a Unity site to prevent Unity from collecting my data (then they collect at least this piece of information).
If the developers take data protection seriously, then they configure the game in a way that no data are collected unless I do something. Unity is configurable in this way.

PS: As far as I myself am concerned, I block the outbound connection to Unity using my firewall - but it shouldn't be necessary.