Sounds like a strange rule to me, at least if it's supposed to be adhered to at all times.
Since you don't specify what is data, if the application configuration (either in a .config file or somewhere) isn't copied during installation, the app might not even be able to run. And talking about databases, I'd say that any database that will be used by the application should be created during installation and probably most of the data too.
Otherwise, the administrator might install the application on a machine and then when the user tries to run it he won't be able to since he don't have permissions to create databases or only have read only access to the database.
One instance when the rule sounds right though is if it's user specific data, since otherwise it might not work properly if an administrator installs it and then another user tries to use it.
Since it's WinMobile I suppose there won't be any user accounts to worry about as such, but I think the principles would still be the same, so I'd only worry about that rule for user specific data.