It could the that the setting is enabled in the retention.dat file. The retention.dat file is the file that Nagios will use for storing status, downtime, and comment information before it shuts down. When Nagios is restarted it will use the information stored in this file for setting the initial states of services and hosts before it starts monitoring anything.
So, is the process_performance_data is not set in any of the configuration files then it could be coming from the retention.dat.
Try this to remove it. Stop the nagios process by running the following.
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service nagios stop
killall -9 nagios
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service nagios start