Tim18 is right! Sampling data collection is to collect performance data for all active modules in the system.
"First Wizard" is to collect performance data for event "CPU_CLK_UNHALTED.CORE" only - after data collecting, the report will display "Most Active Functions In Your Application", the condition is that you specified your target application in Wizard. It doesn't mean other active modules were not collected. You can click on "View All Processes and their functions" to display data for all processes.
General "Sampling Wizard" is to use events "CPU_CLK_UNHALED.CORE" and "INST_RETIRED.ANY" as default setting. The report will display data for all processes including your application. So you can drill down to hotspot report / Source View from your process. Absolutely you can remove event "INST_RETIRED.ANY" from event listin Sampling Configure, that will be as "First Wizard" Configure... to display your active functions directly.