I'm not sure I understand your questions.
Nostr is, indeed, decentralized (not centralized). Unlike, for example, Mastodon, it's decentralized in a way that provides censorship resistance and doesn't tie your identity to a specific server. Your messages are, indeed, stored on relays. "Relay" simply means "server" in the context of Nostr: it's just the name they have. Clients can also locally store messages, but they do not have to and it's not how the protocol works.
Regardless of the level of your technical skills, I encourage you to look up how Nostr works and even read NIP-01. It really isn't complicated and you don't need much of a background in CS to understand it. Chances are, if you know well enough to be using Nostr and to ask those questions, which you do, you'll be able to understand NIP-01, which is the core and the required part of the Nostr protocol.
But do ask if you have any question.
NIP-01: https://github.com/nostr-protocol/nips/blob/master/01.md