Is there not a way to back up your own data without running your own relay?
Where are notes and dms 'stored'?
People often ask, why should you run your own private Nostr relay? It's simple. You run a private Nostr relay to backup your own data. This puts you in control of your own data. This prevents you from getting censored or rugged. If anything happens to the relays that you use, you can re-broadcast or transmit your data to other relays if so inclined.
Tools exist in various capacities to accomplish this, but I'll recommend 3 that I've used.
The shadowy super coder route:
https://github.com/cameri/nostream for command line ninjas.
The pleb route:
Umbrel and Start9 both have one-click relay options. Umbrel's is probably the best.
Discussion
They are stored on relays that other people own. The only sure way to keep yours safe is to store your own.