Like everything on Nostr they need to live on relays, and you can't spread your follows like confetti across a whole bunch of relays; that would mean there would be no global state for people you are following. It's accepted that there isn't a global state for people that are following you; but there should be one for people you yourself have decided to follow (at least in your view). It would be pretty comical otherwise.

This 'cake and eat it too' attempt to have a mini global state on what is essentially a global-stateless system is what leads to the pain people are having with follows (follow lists being over-written, etc.) And that deep contradiction is also why it's so tough to fix. Looks like people have been trying to agree on a fix for years, still no widely adopted solution.