Hi – sorry for any confusion.
WordPress displays that message about all data being deleted whenever a plugin has registered some code to run during the uninstallation process (ie, when you delete it). It doesn’t necessarily mean data will actually be removed and that is definitely not the case with Events Calendar PRO.
With that in mind while, we’d always recommend making a backup (and knowing how to restore the backup in case something does go wrong), you can fully expect the data to still be present once you re-install the plugin second time round.
Does that clarify things?