Let's say I do something crazy and sell a futures option, ES, expiring in 2027 way out of the money for like 15 and collect $750. Where does that $750 go? Do I earn interest on it?
That is up to you. The $750 would go to your account's cash balance, and you can use it however you wish (i.e., leave it in cash and earn the interest rate your broker pays, use it to buy T-Bills, or you could even use it to buy stock).