The SiteSqlServer setting is one of the AppSettings that is contained in the web.config file.

DotNetNuke began life as an 1.0 project (or more accurately IBuyspy workshow began life as that and DotNetNuke forked a codebase from it). In 1.0 web.cponfig files did not have a dedicated connectionStrings section, so the database connection string used by DotNetNuke was stored in the SiteSqlServer node in the appSettings section.

With the release of 2.0, DotNetNuke changed to using connectionString, however the original appSetting is still there to provide legacy support for 3rd party modules. Whilst the core automatically updates both connection strings when doing an install via the install wizard, if a site manually edits the connection string they should do it in both places.