I'd thought about that some but then thought that it'd be better to leave it for now but you're right, as long as we had good encryption that was based on more than just your private key (additional password perhaps) and we had relays that wouldn't allow others to query for these backup blobs then yes, we could store those on relays and other clients could use those to backfill conversation data and other state.
Sounds like a NIP for another day though. It's more general than DMs and Group messages, for sure.