Actually it means you get to decide when messages are deleted from the server, so you can make sure they stay there long enough so that your other devices get to download them.
DC has a global option to delete messages from server after a certain period of time if the account is classic, so you can control it. Also you can set it to never delete from server and rely in timers set to individual chats.
Your backup still is your other device in this scenario, and it never misses messages because or server deletion.
Chat mail servers manage the deletion timeout themselves, but as mentioned have other advantages over classic mail servers.