AWS Data Pipeline activities are run on compute resources that you own.
Yes, Amazon EMR & EC2 included.
There are two types of compute resources: AWS Data Pipeline–managed and self-managed. AWS Data Pipeline–managed resources are Amazon EMR clusters or Amazon EC2 instances that the AWS Data Pipeline service launches only when they're needed. Resources that you manage are longer running and can be any resource capable of running the AWS Data Pipeline Java-based Task Runner
Example: on-premise hardware, a customer-managed Amazon EC2 instance, etc