PerfMon Metrics Collector fetches performance metrics from ServerAgent(s) via TCP or UDP. And it's up to you where you want to install the ServerAgent(s), on JMeter or Application Under Test side or both.
Normally ServerAgent(s) is/are installed on Application Under Test side, i.e. web servers, database servers, load balancers, etc. to measure the load on that end, however if you want to collect performance stats from load generators - feel free to install Server Agent(s) on JMeter machine(s).
See How to Monitor Your Server Health & Performance During a JMeter Load Test article for comprehensive information on PerfMon installation and usage