I have two Jira instances synchronized with Exalate (Jira A and Jira B). If I delete the connection in Jira A will the synchronization data be removed too in Jira B or should I also delete the connection in Jira B in order to remove all the sync data?
If you delete the connection in Jira A the synchronization data will be removed in Jira A only. And the same for Jira B.
But if you want just to remove the synchronization data on both sides you can use the Clean-up Tools (from Exalate menu) - and no need to delete any connection at all.
Here under the “synchronization data” we mean inner Exalate data which holds the information about relations between synced issues. No Jira issues and no info from the issues wouldn’t be deleted in any case.