I'm wondering how connected it is with Computer Science.

In my opinion, data science is more statistics than CS. To quote Nate Silver: "I think data scientist is a sexed-up term for a statistician." But it's inherently an interdisciplinary field. I don't think data science can really exist in a vacuum without the context of the type of data you're looking at.

I assume it's more theoretical and fun than programming as your doing big things and not just busy programming work

Theoretical in what sense? You're not going to be going all crazy with measure theory or theories behind ML optimization and what not. There's also definitely programming in data science. You will most certainly have to clean and wrangle data, which involves lots of programming (think Pandas, Numpy, etc. with Python). In fact, that will probably take up a significant portion of your work as a data scientist (Source). I'm not sure where you're getting the idea that it's different from programming, but there's definitely programming involved, most likely using R or Python.

programming in general seems a lot more competitive and boring.

Eh, this kinda depends. Data science jobs can definitely be competitive since your competition will literally be PhD's and Master's level students. Data analyst or data engineer roles will probably be more open to bachelor's degree holders. So if you have a PhD in say physics, then yeah you're already ahead of the competition.

Also, I'm not quite sure what you mean by "programming in general" since programming is just a skill, not a career. So it's hard to gauge what you're trying to compare it to.