Microsoft keeps your tenant running. Keeping a recoverable copy of what is in it is a different job, and it is yours.
This comes up in almost every handover we do. Mail is in the cloud, so mail is safe — that is the assumption, and it is wrong in a specific and expensive way.
Microsoft's commitment is to keep the service available and to protect it against their own infrastructure failing. It is explicitly not a commitment to give you back data you deleted, that a departing employee deleted, or that ransomware encrypted through a synced OneDrive folder. Retention policies and the recycle bin buy you a window measured in days or weeks, and that window is configurable — which means it can be, and often has been, configured badly.
The realistic failure cases are mundane. Someone empties a mailbox before they resign. An account is compromised and used to delete a chain of correspondence that later matters in a dispute. A SharePoint site is restructured by someone with more permissions than judgement. None of these are Microsoft outages, so none of them are Microsoft's problem to fix.
A third-party backup covers mail, OneDrive, SharePoint and Teams, stores copies outside the tenant, and lets you restore a single mailbox or a single file without a support ticket. It costs a few dollars per user per month.
As with any backup, the control is the restore, not the copy. Pick a mailbox at random once a quarter and restore it somewhere harmless. If that has never been done, you have a subscription rather than a backup.