Why there is a “investment documentation” section in the application annexes? Is it mandatory to attach some documents about the investments?

The section you mentioned only concerns projects planning investments in the sense of the Programme (please refer to the Manual chapter I.C.ii.e / II.A.i.d). In this situation, a “Statement of Capacity and Compliance with the Principles for Investment” will have to be uploaded in Jems (section Application annexes/investment documents) after the approval of the project and during the pre-contracting phase.