They are speaking to people who were either involved in an incident or incidents, or were witnesses. You have a story and so does everyone else. EEOC wants as many stories as possible.

They are investigating and trying to find out if the complaint is valid.

It means they are finding out if the charge you made was valid. Did you expect them to just take your word for it?

well…collecting means ‘to gather’ and evidence would be proof it either happened or didn’t happen