Our community has 3 custom closure options (self-study, either not stats or about software, data set requests), plus two immutable closure options (migration, other/leave a comment).
Users with more than 10k rep can view how often the closure reasons are used during the previous 90 days via this query: https://stats.stackexchange.com/tools/question-close-stats?daterange=last90days
The "data sets" option is the least-used option. Even the option which prompts the user to write a comment is used more often than the "data sets" option.
Please note that adding an additional closure reason is not an option available to us at this time. A previous effort to add a fourth custom closure reason was declined. Moreover, in explaining why it was declined, Catija (an SE representative) explained that the relative disuse of the "data set requests" was a part of the reason.
Removing a vote-to-close reason doesn't change what's on- or off-topic on this site, it just changes the menu options when a person opens the VTC dialogue. A user can still select "this is not about statistics as described in the [help]," or they could select "other - add comment" and paste the text of the current "data set request" option. The menu of options is just a matter of convenience, so that reviewers have ready-made closure reasons for the most common varieties of off-topic questions.
Since the "data set request" option is so rarely used, should we retire it? Doing so would free a slot for a custom option which could be more useful.